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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, 2021. "Mixed Modified Fractional Merton model of the bear spread Basket put option using the multidimensional Mellin transform," Working Papers hal-03330043, HAL.
    • Handle: RePEc:hal:wpaper:hal-03330043
    DOI: 10.13140/RG.2.2.22786.40647
    Note: View the original document on HAL open archive server: https://hal.science/hal-03330043v1
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