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q-fin.PR2014★ 1 cited
A fast Fourier transform method for Mellin-type option pricing
D. J. Manuge, P. T. Kim
Analytical pricing formulas and Greeks are obtained for European and American basket put options using Mellin transforms. We assume assets are driven by geometric Brownian motion w…
q-fin.PR2013★ 1 cited
Multi-Asset Option Pricing with Exponential Lévy Processes and the Mellin Transform
D. J. Manuge
Exponential Lévy processes have been used for modelling financial derivatives because of their ability to exhibit many empirical features of markets. Using their multidimensional a…