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Options on the Maximum or the Minimum of Several Assets

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Author Info
Johnson, Herb
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.

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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 22 (1987)
Issue (Month): 03 (September)
Pages: 277-283
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:22:y:1987:i:03:p:277-283_01

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  1. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368336_v1, HAL. [Downloadable!]
    Other versions:
  2. Frey, Rüdiger & Daniel Sommer, 1995. "A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk," Discussion Paper Serie B 306, University of Bonn, Germany, revised Jun 1996. [Downloadable!]
  3. Joshua Rosenberg, 1999. "Semiparametric Pricing of Multivariate Contingent Claims," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-028, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  4. Jing Zhang & Dominique Guegan, 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00286054_v1, HAL. [Downloadable!]
    Other versions:
  5. Tristan Guillaume, 2008. "Making the best of best-of," Review of Derivatives Research, Springer, vol. 11(1), pages 1-39, March. [Downloadable!] (restricted)
  6. Xun Li & Zhenyu Wu, 2006. "A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets," Annals of Finance, Springer, vol. 2(2), pages 179-205, March. [Downloadable!] (restricted)
  7. Goorbergh, R.W.J. van den & Genest, C. & Werker, B.J.M., 2003. "Multivariate option pricing using dynamic copula models," Discussion Paper 122, Tilburg University, Center for Economic Research. [Downloadable!]
  8. N.P. Firth & J.N. Dewynne, 2004. "High Dimensional Radial Barrier Options," OFRC Working Papers Series 2004mf02, Oxford Financial Research Centre. [Downloadable!]
  9. Rachel A. Campbell & Roman Kräussl, 2006. "Does Patience Pay? Empirical Testing of the Option to Delay Accepting a Tender Offer in the U.S. Banking Sector," CFS Working Paper Series 2006/32, Center for Financial Studies. [Downloadable!]
  10. Lint, O., 2000. "Retrospective insights from real options in R&D," ECIS Working Papers 00.09, Eindhoven Centre for Innovation Studies, Eindhoven University of Technology. [Downloadable!]
  11. Paul H. Kupiec & James M. O'Brien, 1997. "The pre-commitment approach: using incentives to set market risk capital requirements," Finance and Economics Discussion Series 1997-14, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  12. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York. [Downloadable!]
  13. Ron Sanchez, 2003. "Integrating transaction costs theory and real options theory," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 267-282. [Downloadable!]
  14. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO. [Downloadable!]
  15. Onno Lint & Enrico Pennings, 2002. "The option value of developing two product standards simultaneously when the final standard is uncertain," Vlerick Leuven Gent Management School Working Paper Series 2002-10, Vlerick Leuven Gent Management School. [Downloadable!]
  16. Pierre Collin Dufresne William Keirstead and Michael P. Ross., 1998. "Pricing Derivatives the Martingale Way," Research Program in Finance Working Papers RPF-279, University of California at Berkeley. [Downloadable!]
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