• Journal of applied mathematics & informatics
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• v.39 no.5_6
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• pp.677-688
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• 2021

In the modern financial market, the scale of financial instrument transactions in the over-the-counter (OTC) market are increasing. However, in this market, there exists a counterparty credit risk. Herein, we obtain a closed-form solution of power option with credit risks, using the double Mellin transforms. We also use a numerical method to compare the differentiations of option price between the closed-form solution and Monte-Carlo simulation. The result shows that the closed-form solution is precise. In addition, the option's price is sensitive to the exponent of the maturity stock price.

• Journal of applied mathematics & informatics
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• v.42 no.1
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• pp.65-76
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• 2024

In this paper, the I-transform of the Mellin convolution type is presented. Based on the Mellin transform theory, a general integral transform of the Mellin convolution type is introduced. The generating operators for I-transform together with the corresponding operational relations are also presented.

• Journal of the Chungcheong Mathematical Society
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• v.28 no.1
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• pp.89-95
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• 2015

In this paper we investigate the pricing of European contingent claims under regime switching. We use the Mellin transform to derive an analytic form of the valuation of contingent claims.

• East Asian mathematical journal
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• v.34 no.3
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• pp.239-248
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• 2018

In this paper, we derive a closed-form formula of a second-order approximation for a European corrected option price under stochastic elasticity of variance model mentioned in Kim et al. (2014) [1] [J.-H. Kim, J Lee, S.-P. Zhu, S.-H. Yu, A multiscale correction to the Black-Scholes formula, Appl. Stoch. Model. Bus. 30 (2014)]. To find the explicit-form correction to the option price, we use Mellin transform approaches.

• Kyungpook Mathematical Journal
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• v.56 no.4
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• pp.1169-1177
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• 2016

This paper is devoted to the study of Mellin, Laplace, Euler and Whittaker transforms involving Struve function, generalized Wright function and Fox's H-function. The main results are presented in the form of four theorems. On account of the general nature of the functions involved here in, the main results obtained here yield a large number of known and new results in terms of simpler functions as their special cases. For the sake of illustration some corollaries have been recorded here as special cases of our main findings.

• Journal of applied mathematics & informatics
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• v.13 no.1_2
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• pp.233-245
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• 2003

A time fractional advection-dispersion equation is Obtained from the standard advection-dispersion equation by replacing the firstorder derivative in time by a fractional derivative in time of order ${\alpha}$(0 < ${\alpha}$ $\leq$ 1). Using variable transformation, Mellin and Laplace transforms, and properties of H-functions, we derive the complete solution of this time fractional advection-dispersion equation.

• Communications of the Korean Mathematical Society
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• v.32 no.2
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• pp.321-332
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• 2017

In this paper, we generalize the extended Appell's and Lauricella's hypergeometric functions which have recently been introduced by Liu [9] and Khan [7]. Also, we aim at establishing some (presumbly) new integral representations and transforms for the extended generalized Appell's and Lauricella's hypergeometric functions.

• Journal of electromagnetic engineering and science
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• v.14 no.3
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• pp.273-277
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• 2014

In this research, integral transform technique for electromagnetic scattering formulation is reviewed. Electromagnetic boundary-value problems are presented to demonstrate how the integral transforms are utilized in electromagnetic propagation, antennas, and electromagnetic interference/compatibility. Various canonical structures of slotted conductors are used for illustration; moreover, Fourier transform, Hankel transform, Mellin transform, Kontorovich-Lebedev transform, and Weber transform are presented. Starting from each integral transform definition, the general procedures for solving Helmholtz's equation or Laplace's equation for the potentials in the unbounded region are reviewed. The boundary conditions of field continuity are incorporated into particular formulations. Salient features of each integral transform technique are discussed.

• Kyungpook Mathematical Journal
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• v.60 no.4
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• pp.781-795
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• 2020

In this paper, we obtain an analytical solution for an unsolved definite integral RC (m, n) from a 1915 paper of Srinivasa Ramanujan. We obtain our solution using the hypergeometric approach and an infinite series decomposition identity. Also, we give some generalizations of Ramanujan's integral RC (m, n) defined in terms of the ordinary hypergeometric function 2F3 with suitable convergence conditions. Moreover as applications of our result we obtain nine new infinite summation formulas associated with the hypergeometric functions 0F1, 1F2 and 2F3.

• Bulletin of the Korean Mathematical Society
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• v.53 no.5
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• pp.1497-1530
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• 2016

External barrier options are two-asset options with stochastic variables where the payoff depends on one underlying asset and the barrier depends on another state variable. The barrier state variable determines whether the option is knocked in or out when the value of the variable is above or below some prescribed barrier level. This paper derives the explicit analytic solution of the chained option with an external single or double barrier by utilizing the probabilistic methods - the reflection principle and the change of measure. Before we do this, we examine the closed-form solution of the external barrier option with a single or double-curved barrier using the methods of image and double Mellin transforms. The exact solution of the external barrier option price enables us to obtain the pricing formula of the chained option with the external barrier more easily.