Geodesic
Integral Transforms and American Options: Laplace and Mellin go Green
Ghada Alobaidi1 ; Roland Mallier2 ; M. C. Haslam2 ; Ghada Alobaidi ; Roland Mallier ; M. C. Haslam
1Department of Mathematics and Statistics American University of Sharjah Sharjah
2Department of Mathematics and Statistics York University Toronto ON M3J 1P3 Canada
Acta mathematica Universitatis Comenianae, Tome 83 (2014) no. 2, pp. 245-266 
Ghada Alobaidi; Roland Mallier; M. C. Haslam; Ghada Alobaidi; Roland Mallier; M. C. Haslam. Integral Transforms and American Options: Laplace and Mellin go Green. Acta mathematica Universitatis Comenianae, Tome 83 (2014) no. 2, pp. 245-266. http://geodesic.mathdoc.fr/item/AMUC_2014_83_2_a7/
@article{AMUC_2014_83_2_a7,
     author = {Ghada Alobaidi and Roland Mallier and M. C. Haslam and Ghada Alobaidi and Roland Mallier and M. C. Haslam},
     title = { Integral {Transforms} and {American} {Options:} {Laplace} and {Mellin} go {Green}},
     journal = {Acta mathematica Universitatis Comenianae},
     pages = {245--266},
     year = {2014},
     volume = {83},
     number = {2},
     url = {http://geodesic.mathdoc.fr/item/AMUC_2014_83_2_a7/}
}
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Voir la notice de l'article provenant de la source Comenius University

We use Mellin and Laplace transforms to study the price of American options, and show that both transforms yield the same result as the Green’s function approach. Conventional rather than partial transforms are used. We also combine a boundary fixing transformation.