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- W2958771506 abstract "In this paper we present a semi-closed analytical formula for the values of European call and put options on the minimum or maximum of two assets under the two-asset Merton jump-diffusion model. In addition, useful formulas for several first- and second-order Greeks of these options are derived." @default.
- W2958771506 created "2019-07-23" @default.
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- W2958771506 date "2020-01-01" @default.
- W2958771506 modified "2023-10-18" @default.
- W2958771506 title "European rainbow option values under the two-asset Merton jump-diffusion model" @default.
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- W2958771506 doi "https://doi.org/10.1016/j.cam.2019.112344" @default.
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