TITLE:
Integral Representations for the Price of Vanilla Put Options on a Basket of Two-Dividend Paying Stocks
AUTHORS:
Sunday Emmanuel Fadugba, Chuma Raphael Nwozo
KEYWORDS:
Black-Scholes Partial differential Equation, Double Mellin Transform, Early Exercise Premium, Vanilla Basket Put Option
JOURNAL NAME:
Applied Mathematics,
Vol.6 No.5,
May
12,
2015
ABSTRACT: This paper presents integral representations for the price of vanilla put options, namely, European and American put options on a basket of two-dividend paying stocks using integral method based on the double Mellin transform. We show that by the decomposition of the integral equation for the price of American basket put option, the integral equation for the price of European basket put option can be obtained directly.