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Integral Representations for the Price of Vanilla Put Options on a Basket of Two-Dividend Paying Stocks

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DOI: 10.4236/am.2015.65074    2,891 Downloads   3,246 Views   Citations

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.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

Fadugba, S. and Nwozo, C. (2015) Integral Representations for the Price of Vanilla Put Options on a Basket of Two-Dividend Paying Stocks. Applied Mathematics, 6, 783-792. doi: 10.4236/am.2015.65074.

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