Analytic Solution of Black-Scholes-Merton European Power Put Option Model on Dividend Yield with Modified-Log-Power Payoff Function
Bibliographic record
Abstract
This paper proposes a framework based on the celebrated transform of Mellin type (MT) for the analytic solution of the Black-Scholes-Merton European Power Put Option Model (BSMEPPOM) on Dividend Yield (DY) with Modified-Log-Power Payoff Function (MLPPF) under the geometric Brownian motion. The MT has the capability of tackling complex functions by means of its fundamental properties and it is closely related to other well-known transforms such as Laplace and Fourier types. The main goal of this paper is to use MT to obtain a valuation formula for the European Power Put Option (EPPO) which pays a DY with MLPPF. By means of MT and its inversion formula, the price of EPPO on DY was expressed in terms of integral equation. Moreover, the valuation formula of EPPO was obtained with the help of the convolution property of MT and final time condition. The MT was tested on an illustrative example in order to measure its performance, effectiveness and suitability. The MLPPF was compared with other existing payoff functions. Hence, the effect of DY on the pricing of EPPO with MLPPF was also investigated.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".