| Summary: | 碩士 === 義守大學 === 管理科學研究所 === 91 === This study extended the results of lookback options to the pricing of options on the minimum or the maximum of multiple assets under assumptions of B-S pricing models. We derived the closed-form formulas of multiple assets rainbow standard lookback and extrema options with continuous dividends. To validate the accuracy of these formulas, we offered simulation results on call to compare with the result of Johnson.
Keywords: Multiple Assets Option, Rainbow Option, Standard Lookback Options, Option on Extrema, Closed-fo
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