Options on the minimum or the maximum of two risky assets: Analysis and applications
Опубликовано на портале: 06-10-2004
Journal of Financial Economics.
1982.
Vol. 10.
No. 2.
P. 161-185.
Тематический раздел:
This paper provides analytical formulas for European put and call options on the
minimum or the maximum of two risky assets. The properties of these formulas are
discussed in detail. Options on the minimum or the maximum of two risky assets are
useful to price a wide variety of contingent claims of interest to financial economists.
Applications discussed in this paper include the valuation of foreign currency debt,
option-bonds, compensation plans, risk-sharing contracts, secured debt and growth
opportunities involving mutually exclusive investments.
Статья рекомендуется в учебной программе Advanced Topics in Finance: Seminar in Financial Derivatives (Chance D.M.)
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текст статьи:http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VBX-45KNM06-50&_user=10&_handle=W-WA-A-A-Z-MsSAYVW-UUW-AUCUDVCVDY-VABYYACEC-Z-U&_fmt=summary&_coverDate=07%2F31%2F1982&_rdoc=3&_orig=browse&_srch=%23toc%235938%231982%23999899997%23304644!&_cdi=5938&view=c&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=3eea61f5606f55a8af9a4ac21680f699
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