Options on the Maximum or the Minimum of Several Assets

Herb Johnson

Journal of Financial and Quantitative Analysis, 1987, vol. 22, issue 3, 277-283

Abstract: Using an intuitive approach that also provides new intuition concerning the Black and Scholes equation, this paper extends the results of Johnson and Stulz to the pricing of options on the minimum or the maximum of several risky assets.

Date: 1987
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