A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 2 (2006)
Issue (Month): 2 (March)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=112370
High-dimensional options; Maximum; Minimum; Mean-reverting; Stochastic volatility; C63; G12;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March.
- Huisman, Ronald & Mahieu, Ronald, 2003.
"Regime jumps in electricity prices,"
Elsevier, vol. 25(5), pages 425-434, September.
- Huisman, R. & Mahieu, R.J., 2003. "Regime jumps in electricity prices," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3131736, Tilburg University.
- Huisman, R. & Mahieu, R.J., 2001. "Regime Jumps in Electricity Prices," ERIM Report Series Research in Management ERS-2001-48-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
- H�lyette Geman & Andrea Roncoroni, 2006. "Understanding the Fine Structure of Electricity Prices," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1225-1262, May.
- Geman, Hélyette & Roncoroni, Andréa, 2006. "Understanding the Fine Structure of Electricity Prices," Economics Papers from University Paris Dauphine 123456789/1433, Paris Dauphine University.
- Boyle, Phelim P, 1989. " The Quality Option and Timing Option in Futures Contracts," Journal of Finance, American Finance Association, vol. 44(1), pages 101-13, March.
- Boyle, Phelim P. & Tse, Y. K., 1990. "An Algorithm for Computing Values of Options on the Maximum or Minimum of Several Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 215-227, June.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Johnson, Herb, 1987. "Options on the Maximum or the Minimum of Several Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 277-283, September.
- Stulz, ReneM., 1982. "Options on the minimum or the maximum of two risky assets : Analysis and applications," Journal of Financial Economics, Elsevier, vol. 10(2), pages 161-185, July.
- Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.