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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Eric Djeutcha & Jules Sadefo-Kamdem & Louis Aimé Fono, 2025. "Mixed Modified Fractional Merton model of the bear spread Basket put option using the multidimensional Mellin transform," Post-Print hal-05111359, HAL.
    • Handle: RePEc:hal:journl:hal-05111359
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