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BSM model for the generalized ML-Payoff

Ghevariya S. J., Thakkar D. R.

Journal of Applied Mathematics and Computational Mechanics

2019

Vol. 18, nr 4

19--25

The Black-Scholes-Merton (BSM) model for the modified log payoff (ML-Payoff) function has been derived by Denania and Ghevariya. This paper focuses on the derivation of the BSM model for the Generalized ML-Payoff function. The objective of this paper is the derivation of the BSM model which is quite close to the celebrated BSM model for the plain vanilla payoff function. Note that Paul Wilmott’s BSM model of log payoff has become a special case of this model.