Analytical pricing formulas and Greeks are obtained for European and Americanbasket put options using Mellin transforms. We assume assets are driven bygeometric Brownian motion which exhibit correlation and pay a continuousdividend rate. A novel approach to numerical Mellin inversion is achieved viathe fast Fourier transform, enabling the computation of option values atequidistant log asset prices. Numerical accuracy is verified among existingmethods for American call options.
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