An improved Mellin transform approach to BSM formula of ML-payoff function

Abstract

Panini and Srivastav introduced valuation of the European put option for plain vanilla payoff through Mellin transform. This transform fails to valuing European call option. Fadugba and Nwozo derived formula for plain vanilla put option using improved Mellin transform. This paper contributes to the valuation of European call option for Modified Log-payoff (ML-payoff) using improved Mellin transform. It turns out that the present option pricing formula is quite close to the celebrated plain vanilla option.

Subject Classification:

• (2010) 91B25
• 91G20

Keywords:

• BSM formula
• Plain vanilla payoff
• ML-payoff
• Improved Mellin transform