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In this chapter we derive the Black–Scholes–Merton partial differential equation for financial derivatives with multiple underlying assets. Examples include exchange options and quanto options. For a more rigorous approach, consult (Baldi, 2017).

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The Multi-asset Black–Scholes–Merton Equation

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  • 发表日期：

    2026年

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  • Geon Ho Choe

摘要

In this chapter we derive the Black–Scholes–Merton partial differential equation for financial derivatives with multiple underlying assets. Examples include exchange options and quanto options. For a more rigorous approach, consult (Baldi, 2017).