European rainbow option values under the two-asset Merton jump-diffusion model
Author:
Funder
University of Antwerp, Belgium
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference20 articles.
1. Operator splitting schemes for the two-asset Merton jump-diffusion model;Boen;J. Comput. Appl. Math.,2019
2. The value of an option to exchange one asset for another;Margrabe;J. Financ.,1978
3. Options on the minimum or the maximum of two risky assets;Stulz;J. Financ. Econ.,1982
4. Somewhere over the rainbow;Rubinstein;Risk,1991
5. Option pricing when underlying stock returns are discontinuous;Merton;J. Financ. Econ.,1976
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