Options on the Maximum or the Minimum of Several Assets
- 1 September 1987
- journal article
- Published by JSTOR in Journal of Financial and Quantitative Analysis
- Vol. 22 (3) , 277
- https://doi.org/10.2307/2330963
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.Keywords
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