Basket option pricing using Mellin transforms

D.J. Manuge, P.T. Kim

Abstract


Analytical pricing formulas and Greeks are obtained for European and American basket put options usingMellin transforms. We assume assets are driven by geometric Brownian motion which exhibit correlationand pay a continuous dividend rate.

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Published: 2015-03-17

How to Cite this Article:

D.J. Manuge, P.T. Kim, Basket option pricing using Mellin transforms, Math. Finance Lett., 2015 (2015), Article ID 1

Copyright © 2015 D.J. Manuge, P.T. Kim. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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