P. Carr and A. Mayo, “On the Numerical Evaluation of Option Prices in Jump Diffusion Processes,” European Journal of Finance, Vol. 13, No. 4, 2007, pp. 353-372.
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.