Article1987

Options on the Maximum or the Minimum of Several Assets

405 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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.

Citations in this library

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1976The valuation of options for alternative stochastic processes 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER 1977The Valuation of Corporate Liabilities as Compound Options 1984The American Put Option Valued Analytically 1982Options on the minimum or the maximum of two risky assets 1976Option pricing

Cited by

2004A stochastic mesh method for pricing high-dimensional American options 1989Numerical Evaluation of Multivariate Contingent Claims 1995Numerical Valuation of High Dimensional Multivariate American Securities 1991Multinomial Approximating Models for Options with k State Variables 1997The Valuation of American Options on Multiple Assets 1991The Default Risk of Swaps 2001Manufacturing flexibility and real options: A review 2005Bivariate option pricing using dynamic copula models

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