Mixed Modified Fractional Merton model of the bear spread Basket put option using the multidimensional Mellin transform

Eric Djeutcha, Jules Sadefo-Kamdem and Louis Aimé Fono ()
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Eric Djeutcha: UMa - University of Maroua
Jules Sadefo-Kamdem: MRE - Montpellier Recherche en Economie - UM - Université de Montpellier
Louis Aimé Fono: Faculté des Sciences [Douala] - Université de Douala
Authors registered in the RePEc Author Service: Jules SADEFO KAMDEM

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Abstract: In this paper, The generalized Mixed-Modified-Fractional-Merton like partial differential equation with multi-assets under mixed modified fractional geometric Brownian motion was derived. The multidimensional Mellin transform was applied to derive the integral equation for the price of the European put option on a bear spread basket of multi-assets.

Date: 2021
New Economics Papers: this item is included in nep-isf
Note: View the original document on HAL open archive server: https://hal.science/hal-03330043
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-03330043

DOI: 10.13140/RG.2.2.22786.40647

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