Extremum Options Pricing of Two Assets under a Double Nonaffine Stochastic Volatility Model

In this paper, we consider the pricing problem for extremum options by constructing a double nonaffine stochastic volatility model. The joint characteristic function of logarithm two asset prices is derived using Feynman–Kac theorem and one-order Taylor approximation expansion. semiclosed analytical formulas European including option on maximum minimum underlying assets are measure change technique Fourier transform approach. Some numerical examples provided to analyze results under affine model, Black–Scholes influences some model parameters option. Numerical show that have higher computational efficiency accuracy than those Monte Carlo simulation method. Also, sensitivity analysis report models more effective other existing in capturing effect pricing.