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

Journal Contribution - Journal Article

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
Number of pages: 15
Publication year:2020