Extremum options pricing of two assets under a double nonaffine stochastic volatility model

HIGHLIGHTS

SUMMARY

Extremum options are a class of multiasset derivatives whose payof depends on the maximum or minimum value of multiple underlying assets at maturity. Essentially, according to the payof function, there are four categories of extremum option: call option on maximum, call option on minimum, put option on maximum, and_(4) put option on minimum. Tey are extensively used to speculate, hedge correlation risks, and even evaluate real assets in corporate fnance and bond pricing models (see, e_g, Kwok, Dempster et_al, and Luciano ).. European extremum options of two risky assets are frst considered by Stulz . . .

 



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