An Algorithm for Computing Values of Options on the Maximum or Minimum of Several Assets
提出一种快速近似方法，用于计算以多个资产中最大值或最小值为标的的欧式期权价值，适用于资产价格、方差和协方差不相等的情况，并给出数值示例验证精度。
An approximate method is developed for computing the values of European options on the maximum or the minimum of several assets. The method is very fast and is accurate for parameter ranges that are often of the most interest. The approach casts the problem in terms of order statistics and can be used to handle situations where the initial asset prices, the asset variances, and the covariances are all unequal. Numerical values are given to illustrate the accuracy of the method.