Options on the minimum or the maximum of two average prices

DOI10.1023/A:1009658511492zbMATH Open1274.91446OpenAlexW3125993911MaRDI QIDQ375485FDOQ375485

Xueping Wu, Jin E. Zhang

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009658511492

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zbMATH Keywords

optionsrisk managementaverage-rate optionsincentive contractrainbow options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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