An Algorithm for Computing Values of Options on the Maximum or Minimum of Several Assets
Johnson (1981) and Stulz (1982) independently derived prices for options on the maximum and the minimum of 2 assets. The results of Johnson and Stulz are extended to the pricing of options on the minimum or the maximum of several risky assets. A simple, intuitive approach is presented, using the Cox...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1987
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/75 |
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| Institution: | Singapore Management University |
| Language: | English |