European Rainbow Option Values under the Two-Asset Merton Jump-Diffusion Model

In this paper we present a semi-closed analytical formula for the values of European call and put options on the minimum or maximum of two assets under the two-asset Merton jump-diffusion model. In addition, useful formulas for several first- and second-order Greeks of these options are derived

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Year of publication:	2019
Authors:	Boen, Lynn
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| EU-Staaten \| EU countries

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: L. Boen, European rainbow option values under the two-asset Mertonjump-diffusion model, Journal of Computational and Applied Mathematics (2019), DOI: 10.1016/j.cam.2019.112344 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 26, 2018 erstellt
Other identifiers:	10.2139/ssrn.3290656 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012897235