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Mathematical Finance Letters ISSN 2051-2929

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Math. Finance Lett. 2015 (2015), Article ID 1

Basket option pricing using Mellin transforms

D.J. Manuge, P.T. Kim

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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.

Published
17 March 2015
Volume
2015 (2015)
License
CC BY 3.0

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.

Cite this article

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

BibTeX
@article{Manuge2015,
  author  = {Manuge, D.J. and Kim, P.T.},
  title   = {Basket option pricing using Mellin transforms},
  journal = {Math. Finance Lett.},
  volume  = {2015},
  year    = {2015},
  pages   = {1},
  doi     = {}
}