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Title
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European rainbow option values under the two-asset Merton jump-diffusion model
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Author
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Abstract
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| 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. |
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Language
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English
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Source (journal)
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Journal of computational and applied mathematics. - Antwerp, 1975, currens
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Publication
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Antwerp
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2020
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ISSN
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0377-0427
[print]
1879-1778
[online]
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DOI
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10.1016/J.CAM.2019.112344
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Volume/pages
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364
(2020)
, 15 p.
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Article Reference
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112344
UNSP 112344
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ISI
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000488995800024
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Medium
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E-only publicatie
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Full text (Publisher's DOI)
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Full text (open access)
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Full text (publisher's version - intranet only)
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