Publication

European rainbow option values under the two-asset Merton jump-diffusion model

Journal Contribution - e-publication

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.

Journal: Journal of computational and applied mathematics

ISSN: 0377-0427

Volume: 364

Publication year:2020

Keywords:A1 Journal article

Handle: https://hdl.handle.net/10067/1609810151162165141
DOI: https://doi.org/10.1016/j.cam.2019.112344
WoS Id: 000488995800024

BOF-keylabel:yes

BOF-publication weight:1

CSS-citation score:1

Authors from:Higher Education

Accessibility:Open

Publication

European rainbow option values under the two-asset Merton jump-diffusion model

Journal Contribution - e-publication

Authors/publisher

Research units

Projects