| Autor: |
Djeutcha, Eric, Sadefo-Kamdem, Jules, Fono, Louis Aimé |
| Přispěvatelé: |
University of Maroua (UMa), Montpellier Recherche en Economie (MRE), Université de Montpellier (UM), Faculté des Sciences [Douala], Université de Douala |
| Jazyk: |
angličtina |
| Rok vydání: |
2021 |
| Předmět: |
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| DOI: |
10.13140/rg.2.2.22786.40647 |
| Popis: |
In this paper, The generalized Mixed-Modified-Fractional-Merton like partial differential equation with multi-assets under mixed modified fractional geometric Brownian motion was derived. The multidimensional Mellin transform was applied to derive the integral equation for the price of theEuropean put option on a bear spread basket of multi-assets. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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