Open Access Open Access  Restricted Access Subscription Access

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

Fadugba Sunday Emmanuel


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.


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

Full Text:


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information.