European rainbow option values under the two-asset Merton jump-diffusion model

摘要

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. (C) 2019 Elsevier B.V. All rights reserved.