European Call Options on the Extremum with Risky Asset

DOI

10.2991/icibet-14.2014.8How to use a DOI?

Keywords

Call option, Extremum, risky assets, pricing

Abstract

European call options are the most important with risky asset. European call and put options on the extremum of m risky assets based on the Black-Scholes assumptions of the capital markets. Note that there is a flip of sign for the correlation coefficient, attributed to the change of limits of integration when the sign of one of the integration variables is reversed. Our research substantially reduced the corresponding extremum hedging strategies. The European put and call options on the minimum of several risky assets find their applications for a wide variety of contingent claims in corporate finance and bond pricing models. The price formulas are essentially obtained by the valuation of the discounted expectation integral defined in the paper.

Copyright

© 2014, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Longhua Xu
PY  - 2014/02
DA  - 2014/02
TI  - European Call Options on the Extremum with Risky Asset
BT  - Proceedings of the 2014 International Conference on Information, Business and Education Technology
PB  - Atlantis Press
SP  - 26
EP  - 28
SN  - 1951-6851
UR  - https://doi.org/10.2991/icibet-14.2014.8
DO  - 10.2991/icibet-14.2014.8
ID  - Xu2014/02
ER  -