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

Eric Djeutcha (1) , Jules Sadefo-Kamdem (2) , Louis Aimé Fono (3)

1 UMa - University of Maroua
2 MRE - Montpellier Recherche en Economie
3 Faculté des Sciences [Douala]

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.

Domaines: Économie et finance quantitative [q-fin]

Eric Djeutcha, Jules Sadefo-Kamdem, Louis Aimé Fono. Mixed Modified Fractional Merton model of the bear spread Basket put option using the multidimensional Mellin transform. 2021. ⟨hal-03330043⟩