A Generalization of the Formulas for Options on the Maximum or the Minimum of Several Assets

This paper generalizes the option on the maximum or the minimum of two assets (several assets) within a stochastic interest rate framework. A Gaussian model is used to describe the interest rates. Closed-form solutions for the market values are presented. The use of the options is illustrated with numerical examples.

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Year of publication:	2006
Authors:	Lindset, Snorre
Published in:	The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 12.2006, 8, p. 717-730
Publisher:	Taylor & Francis Journals
Subject:	Options on maximum or minimum of several assets \| Heath \| Jarrow \| and Morton term structure of interest rates \| multivariate probabilities

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009218992