Pricing vulnerable path-dependent options using integral transforms

In the over-the-counter (OTC) markets, the holders of many contracts are vulnerable to counterparty credit risk. Because of this issue, vulnerable options must be considered. In addition, in a financial environment, the pricing of path-dependent options yields many interesting mathematical challenges. In this paper, we study the pricing of vulnerable path-dependent options using double Mellin transforms to investigate an explicit (closed) form pricing formula or semi-analytic formula in each path-dependent option.