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Author: | Boyle, P.P. Tse, Y.K. |
Title: | An algorithm for computing values of options on the maximum or minimum of several assets |
Journal: | Journal of Financial and Quantitative Analysis
1990 : JUNE, VOL. 25:2, p. 215-227 |
Index terms: | STOCK OPTIONS ASSET VALUATION MULTIVARIATE ANALYSIS |
Language: | eng |
Abstract: | Presentation of a method to compute value of options on the maximum or minimum of several assets, related to a multivariate lognormal distribution. Clark algorithm. Quality option. Options on maximum/minimum of several assets. 7 Tables illustrate the study. |
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