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Analytical Solution for an Arithmetic Asian Put Option On Dividend Paying Stock Via the Mellin Transform

Fadugba Sunday Emmanuel

Abstract



Asian options are financial derivatives whose payoffs depend on the average price of the underlying asset during at least some part of the life of the option. An alternative method for solving arithmetic Asian options partial differential equation via the Mellin transform is presented. It is assumed that the assets are driven by geometric Brownian motion with a continuous dividend yield.

Keywords


Asian option, Black-Scholes-Merton partial differential equation, Mellin transform

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