A Generalization of the Formulas for Options on the Maximum or the Minimum of Several Assets

Snorre Lindset

The European Journal of Finance, 2006, vol. 12, issue 8, 717-730

Abstract: This paper generalizes the option on the maximum or the minimum of two assets (several assets) within a stochastic interest rate framework. A Gaussian model is used to describe the interest rates. Closed-form solutions for the market values are presented. The use of the options is illustrated with numerical examples.

Keywords: Options on maximum or minimum of several assets; Heath; Jarrow; and Morton term structure of interest rates; multivariate probabilities (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1080/13518470500392876

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