The Multi-asset Black–Scholes–Merton Equation

Geon Ho Choe
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Geon Ho Choe: Korea Advanced Institute of Science and Technology, Department of Mathematical Sciences

Chapter Chapter 11 in Quantitative Methods for Finance with Simulations II, 2026, pp 191-204 from Springer

Abstract: Abstract In this chapter we derive the Black–Scholes–Merton partial differential equation for financial derivatives with multiple underlying assets. Examples include exchange options and quanto options. For a more rigorous approach, consult (Baldi, 2017).

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-032-12331-2_11

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DOI: 10.1007/978-3-032-12331-2_11

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