haku: @indexterm portfolio management / yhteensä: 694
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| Tekijä: | Lindset, S. |
| Otsikko: | A generalization of the formulas for options on the maximum or the minimum of several assets |
| Lehti: | European Journal of Finance
2006 : DEC, VOL. 12:8, p. 717-730 |
| Asiasana: | finance assets options interest rates portfolio management models |
| Kieli: | eng |
| Tiivistelmä: | In this paper, the option on the maximum or the minimum of two assets (several assets) within a stochastic interest rate framework is generalized. A Gaussian model is used for describtion of the interest rates. Closed-form solutions for the market values are presented. Numerical examples are used to illustrate the use of options. |
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