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<p>This paper presents an in-depth study of the pricing of the bear spread basket put option using the Merton model with random components described by the Mixed-Modified-Fractional-Brownian Motion (MMFBM). We present several innovations and significant contributions, including the integration of MMFBM into the Merton model, the use of the multidimensional Mellin transform, and the validation of the model using numerical examples. Our results contribute to the theoretical and practical understanding of option pricing and provide a solid foundation for further research.</p>

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Mixed Modified Fractional Merton Model of the Bear Spread Basket Put Option using the Multidimensional Mellin Transform

  • 期刊论文

  • 发表日期：

    2025年7月8日

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  • Eric Djeutcha,
  • Jules Sadefo Kamdem,
  • Louis Aimé Fono

摘要

This paper presents an in-depth study of the pricing of the bear spread basket put option using the Merton model with random components described by the Mixed-Modified-Fractional-Brownian Motion (MMFBM). We present several innovations and significant contributions, including the integration of MMFBM into the Merton model, the use of the multidimensional Mellin transform, and the validation of the model using numerical examples. Our results contribute to the theoretical and practical understanding of option pricing and provide a solid foundation for further research.