Integral Representations for the Price of Vanilla Put Options on a Basket of Two-Dividend Paying StocksReport as inadecuate




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This paper presents integral representations for the price of vanilla put options, namely, European and American put options on a basket of two-dividend paying stocks using integral method based on the double Mellin transform. We show that by the decomposition of the integral equation for the price of American basket put option, the integral equation for the price of European basket put option can be obtained directly.

KEYWORDS

Black-Scholes Partial differential Equation, Double Mellin Transform, Early Exercise Premium, Vanilla Basket Put Option

Cite this paper

Fadugba, S. and Nwozo, C. 2015 Integral Representations for the Price of Vanilla Put Options on a Basket of Two-Dividend Paying Stocks. Applied Mathematics, 6, 783-792. doi: 10.4236-am.2015.65074.





Author: Sunday Emmanuel Fadugba1, Chuma Raphael Nwozo2*

Source: http://www.scirp.org/



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