BSM European Put Option Pricing Formula for ML-Payoff Function with Mellin Transform


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Authors

  • S. J. Ghevariya Department of Mathematics, Sardar Patel University, Vallabh Vidya Nagar, Anand, Gujarat, India

Keywords:

European put option, BSM formula, ML-payoff function, Mellin transform

Abstract

This paper contributes to the valuation of BSM European put option pricing formula for Modified-Log (ML) payoff function using Mellin transform. Panini and Srivastav introduced valuation of option through Mellin transform. Mellin transform is related with extended form of well known Laplace and Fourier transforms.

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Published

15-06-2018

How to Cite

S. J. Ghevariya. (2018). BSM European Put Option Pricing Formula for ML-Payoff Function with Mellin Transform. International Journal of Mathematics And Its Applications, 6(2 - B), 33–36. Retrieved from http://ijmaa.in/index.php/ijmaa/article/view/697

Issue

Vol. 6 No. 2 - B (2018)

Section

Research Article

License

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.