haku: @journal_id 62 / yhteensä: 680
viite: 259 / 680
Tekijä: | Johnson, H. |
Otsikko: | Options on the maximum or the minimum of several assets. |
Lehti: | Journal of Financial and Quantitative Analysis
1987 : SEP, VOL. 22:3, p. 277-283 |
Asiasana: | SHARE OPTIONS |
Kieli: | eng |
Tiivistelmä: | Using an intuitive approach which at the same time yields new intuition concerning the Black and Scholes equation, we extend the results obtained independently by Johnson and Stulz to the pricing of options on the minimum or the maximum of several risky assets. The result can be applied to pricing currency options bonds, portfolio insurance and the quality option in commodity contracts. |
SCIMA