European rainbow option values under the two-asset Merton jump-diffusion model

被引：2
|
作者：
Boen, Lynn [1 ]
机构：
[1] Univ Antwerp, Dept Math & Comp Sci, Middelheimlaan 1, B-2020 Antwerp, Belgium
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2020年 / 364卷
关键词：
Option pricing; Jump-diffusion; European options; Rainbow options; Equivalent martingale measure; PRICING OPTIONS; SCHEMES;
D O I：
10.1016/j.cam.2019.112344
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper we present a semi-closed analytical formula for the values of European call and put options on the minimum or maximum of two assets under the two-asset Merton jump-diffusion model. In addition, useful formulas for several first- and second-order Greeks of these options are derived. (C) 2019 Elsevier B.V. All rights reserved.
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页数：15
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