BSM European Put Option Pricing Formula for ML-Payoff Function with Mellin Transform
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Keywords:
European put option, BSM formula, ML-payoff function, Mellin transformAbstract
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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