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Marianito Rocha Rodrigo, Instituto Tecnologico Autonomo
de Mexico (ITAM), University of Western Ontario (on sabbatical
leave)
American options with time-varying parameters via Mellin
transforms
We use a Mellin transform approach to solve the American
option valuation problem under a time-dependent Black-Scholes
modeling framework. We first obtain the exact form for the
price of a put. Then we establish a put-call parity relation
for American options and employ this to determine the explicit
price of the corresponding call. For both put and call options,
the solution of the integral equation governing the optimal
exercise price is determined analytically.
This is joint work with Rogemar Mamon, University of Western
Ontario.
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