An algorithm for computing options on the maximum or minimum of several assets
By: Phelim P. Boyle, Y. K. Tse
Contributors: Tse, Y. K.; University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
Series: BEBR faculty working paper -- no. 1535; BEBR faculty working paper -- no. 1535.
Publisher: College of Commerce and Business Administration, University of Illinois Urbana-Champaign
Published: 1989
Place of publication: [Urbana, Ill]
Language: eng
Number of pages: 17
Notes: Includes bibliographical references (p. 17).