Publication Cover
Applicable Analysis
An International Journal
Volume 84, 2005 - Issue 7
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Original Articles

Mathematical analysis of the two-color partial rainbow options

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Pages 737-757 | Received 04 Oct 2004, Published online: 19 Aug 2006

References

  • Black , F and Scholes , M . 1973 . The pricing of options and corporate liabilities . Journal of Political Economy , 81 : 637 – 654 .
  • Boyle , PP and Tse , YK . 1990 . An algorithm for computing variables of options on the maximum or minimum of several assets . Journal of Financial and Quantitative Analysis , 25 : 231 – 237 .
  • Heynen , R and Kat , H . 1994 . Crossing barriers . RISK , 7 ( 6 ) : 46 – 51 .
  • Johnson , H . 1987 . Options on the minimum or the maximum of several assets . Journal of Financial and Quantitative Analysis , 22 ( 3 ) : 277 – 283 .
  • Stulz , RM . 1982 . Options on the minimum or the maximum of two risky assets . Journal of Financial Economics , 10 : 161 – 185 .
  • Zhang P 1998 Exotic Options, World Scientific Singapore, New Jersey, London, Hong Kong

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