Mathematical analysis of the two-color partial rainbow options

DOI10.1080/00036810500047774zbMath1123.91024OpenAlexW1992637812WikidataQ58189546 ScholiaQ58189546MaRDI QIDQ5312745

Eric C. Chang, Haitao Fan, Duy-Minh Nhieu, Der-Chen E. Chang

Publication date: 25 August 2005

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036810500047774

zbMATH Keywords

option pricingintegral representationBlack-Schole's formulae

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items

The heat kernel for Kolmogorov type operators and its applications

Cites Work

• The Pricing of Options and Corporate Liabilities

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