Valuing vulnerable options with two underlying assets

Xingchun Wang ()

Applied Economics Letters, 2020, vol. 27, issue 21, 1699-1706

Abstract: In this paper, we consider vulnerable options with two underlying assets, including options on the maximum of two underlying prices, options paying the best and cash, and options on the maximum of two geometric average prices. We derive the explicit pricing formulae of these options and perform numerical examples to illustrate prices of these options.

Date: 2020
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DOI: 10.1080/13504851.2020.1713980

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