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Options on the Maximum or the Minimum of Several Assets
Home
Publications
Options on the Maximum or the Minimum of Several Assets
Options on the Maximum or the Minimum of Several Assets
HJ
Herb Johnson
Herb Johnson
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1 September 1987
journal article
Published by
JSTOR
in
Journal of Financial and Quantitative Analysis
Vol. 22
(3)
,
277
https://doi.org/10.2307/2330963
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.
Keywords
OPTIONS ON THE MAXIMUM
MINIMUM OF SEVERAL ASSETS
MAXIMUM OR THE MINIMUM
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Open Access
Cited by 278 articles