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Making the best of best-of

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Author Info
Tristan Guillaume ()
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File URL: http://hdl.handle.net/10.1007/s11147-008-9022-1
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Article provided by Springer in its journal Review of Derivatives Research.

Volume (Year): 11 (2008)
Issue (Month): 1 (March)
Pages: 1-39
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Handle: RePEc:kap:revdev:v:11:y:2008:i:1:p:1-39

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Web page: http://www.springerlink.com/link.asp?id=102989

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Related research
Keywords: Multiasset option; Rainbow option; Best-of option; Option on the maximum or the minimum; Dimension; Multivariate normal distribution;

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References listed on IDEAS
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.:
  1. Boyle, Phelim P & Evnine, Jeremy & Gibbs, Stephen, 1989. "Numerical Evaluation of Multivariate Contingent Claims," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 2(2), pages 241-50. [Downloadable!] (restricted)
  2. Hans FÃllmer & Peter Leukert, 1999. "Quantile hedging," Finance and Stochastics, Springer, vol. 3(3), pages 251-273. [Downloadable!] (restricted)
  3. Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pages 1165-1190, 06. [Downloadable!] (restricted)
  4. José Fonseca & Martino Grasselli & Claudio Tebaldi, 2007. "Option pricing when correlations are stochastic: an analytical framework," Review of Derivatives Research, Springer, vol. 10(2), pages 151-180, May. [Downloadable!] (restricted)
  5. Christoffersen, Peter & Jacobs, Kris, 2004. "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, vol. 72(2), pages 291-318, May. [Downloadable!] (restricted)
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  6. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(4), pages 573-92. [Downloadable!] (restricted)
  7. 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. [Downloadable!]
  8. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144. [Downloadable!] (restricted)
    Other versions:
  9. 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. [Downloadable!]
  10. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  11. 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. [Downloadable!] (restricted)
  12. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1998. "Implied Volatility Functions: Empirical Tests," Journal of Finance, American Finance Association, vol. 53(6), pages 2059-2106, December. [Downloadable!] (restricted)
  13. 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. [Downloadable!] (restricted)
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