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Options on the Maximum or the Minimum of Several Assets

Published online by Cambridge University Press:  06 April 2009

Herb Johnson
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Abstract

Using an intuitive approach that also provides new intuition concerning the Black and Scholes equation, this paper extends the results of Johnson and Stulz to the pricing of options on the minimum or the maximum of several risky assets.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 3 , September 1987 , pp. 277 - 283
Copyright
Copyright © School of Business Administration, University of Washington 1987

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References

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