I. Gradshteyn and I. Ryzhik, “Table of Integrals, Series, and Products,” 7th Edition, Elsevier Academic Press, Amsterdam, 2007.
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.