Author(s)

Sunday Emmanuel Fadugba¹, Chuma Raphael Nwozo^2*

¹Department of Mathematical Sciences, Ekiti State University, Ado Ekiti, Nigeria.
²Department of Mathematics, University of Ibadan, Ibadan, Nigeria.

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.

Black-Scholes Partial differential Equation, Double Mellin Transform, Early Exercise Premium, Vanilla Basket Put Option

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.