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MinMax Options

Call on the minimum of two assets

Call on the maximum of two assets

Put on the minimum of two assets

Put on the maximum of two assets

where

 

,

 

,

 

where

c = Price of European call

p = Price of European put

S1 = Sport price asset one

S2 = Sport price asset two

X = Strike price

T = Time to maturity

r = risk free rate

= Volatility of asset one

= Volatility of asset two

= Correlation between the two assets

N = The cumulative normal distribution function

M = The bivariate cumulative normal distribution function

 

See Also

oX_MaxMin( ) Function

oX_MaxMin_Imp( ) Function

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