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

zbMATH Keywords

optionsrisk managementaverage-rate optionsincentive contractrainbow options

Mathematics Subject Classification ID

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

Cited In (6)

• Rainbow trend options: valuation and applications
• Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
• A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework
• Asian rainbow option pricing formulas of uncertain stock model
• Title not available (Why is that?)
• A Note on Average Rate Options with Discrete Sampling

Recommendations

• Title not available (Why is that?) 👍 👎
• THE RANGE OF TRADED OPTION PRICES 👍 👎
• On the range of options prices 👍 👎
• Approximate valuation of average options 👍 👎
• Analysis of pricing American options on the maximum (minimum) of two risk assets 👍 👎
• A unified approach for the pricing of options relating to averages 👍 👎
• OPTION PRICING FOR WEIGHTED AVERAGE OF ASSET PRICES 👍 👎
• Option Pricing 👍 👎
• valuation of options on joint minima and maxima 👍 👎

This page was built for publication: Options on the minimum or the maximum of two average prices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375485)