Distributional Mellin calculus in $\mathbb{C}^n$, with applications to option pricing

Jean-Philippe Aguilar, Cyril Coste, Hagen Kleinert and Jan Korbel

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Abstract: We discuss several aspects of Mellin transform, including distributional Mellin transform and inversion of multiple Mellin-Barnes integrals in $\mathbb{C}^n$ and its connection to residue expansion or evaluation of Laplace integrals. These mathematical concepts are demonstrated on several option-pricing models. This includes European option models such as Black-Scholes or fractional-diffusion models, as well as evaluation of quantities related to the optimal exercise price of American options.

Date: 2016-11, Revised 2016-11
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