European rainbow option values under the two-asset Merton jump-diffusion model (Q2279888)
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scientific article; zbMATH DE number 7143649
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| English | European rainbow option values under the two-asset Merton jump-diffusion model |
scientific article; zbMATH DE number 7143649 |
Statements
European rainbow option values under the two-asset Merton jump-diffusion model (English)
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16 December 2019
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option pricing
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jump-diffusion
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European options
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rainbow options
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equivalent martingale measure
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0.7806270122528076
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0.7706455588340759
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0.7659695148468018
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