Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/78348
Authors: 
Topper, Jürgen
Year of Publication: 
2001
Series/Report no.: 
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät, Universität Hannover 217
Abstract: 
Options on two underlyings are a common exotic product in the equity and FX derivatives market. The value of these kinds of options depends on the correlation of the two underlyings. We will present a model to compute a lower bound for the price of this option. The model, represented by a non-linear parabolic PDE, is implemented with finite elements in order to demonstrate the results with several derivatives from the European market.
JEL: 
C63
G13
Document Type: 
Working Paper

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