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• W3136875487 abstract "In this paper, we work under GARCH models to value options on the maximum or the minimum of two prices. In addition, we consider not only two underlying asset prices but also geometric average ones. Further, default risk is also incorporated in a reduced-form model. In the proposed framework, closed-form pricing formulae of options on the maximum with or without default risk are derived and then used to perform numerical examples." @default.
• W3136875487 created "2021-03-29" @default.
• W3136875487 creator A5058657798 @default.
• W3136875487 date "2021-07-01" @default.
• W3136875487 modified "2023-10-17" @default.
• W3136875487 title "Valuation of options on the maximum of two prices with default risk under GARCH models" @default.
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• W3136875487 doi "https://doi.org/10.1016/j.najef.2021.101422" @default.
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