S. Kou and H. Wang, “Option Pricing under a Double Exponential Jump Diffusion Model,” Management Science, Vo. 50, No. 9, 2004, pp. 1178-1192. doi:10.1287/mnsc.1030.0163
has been cited by the following article:
TITLE: Pricing Options in Jump Diffusion Models Using Mellin Transforms
AUTHORS: Robert Frontczak
KEYWORDS: Jump Diffusion; Mellin Transform; European Option
JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.3, August 15, 2013
ABSTRACT: This paper is concerned with the valuation of options in jump diffusion models. The partial integro-differential equation (PIDE) inherent in the pricing problem is solved by using the Mellin integral transform. The solution is a single integral expression independent of the distribution of the jump size. We also derive analytical expressions for the Greeks. The results are implemented and compared to other approaches.