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  • Search: subject:"option on the maximum or the minimum"
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Best-of option 1 Dimension 1 Multiasset option 1 Multivariate normal distribution 1 Option on the maximum or the minimum 1 Rainbow option 1 best-of option 1 dimension 1 multiasset option 1 multivariate normal distribution 1 option on the maximum or the minimum 1 rainbow option 1
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Free 1 Undetermined 1
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Article 1 Book / Working Paper 1
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Undetermined 2
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Guillaume, Tristan 2
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HAL 1
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Post-Print / HAL 1 Review of Derivatives Research 1
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RePEc 2
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Making the best of best-of
Guillaume, Tristan - HAL - 2008
This paper extends the analytical valuation of options on the maximum or the minimum of several risky assets in several directions. The first extension consists in including more assets in the payoff and making the latter more flexible by adding knock-in and knock-out provisions. The second...
Persistent link: https://www.econbiz.de/10010821073
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Making the best of best-of
Guillaume, Tristan - In: Review of Derivatives Research 11 (2008) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10005709805
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