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Publicatie
European rainbow option values under the two-asset Merton jump-diffusion model
Tijdschriftbijdrage - e-publicatie
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.
Tijdschrift: Journal of computational and applied mathematics
ISSN: 0377-0427
Volume: 364
Jaar van publicatie:2020
Trefwoorden:A1 Journal article
BOF-keylabel:ja
BOF-publication weight:1
CSS-citation score:1
Authors from:Higher Education
Toegankelijkheid:Open