On Pricing Rainbow Options
碩士 === 國立臺灣大學 === 財務金融學研究所 === 92 === The rainbow option is an option whose payoff depends on two or more underlying assets, which has played an important role in the financial innovation. The maximum call option on n assets is an example of the rainbow opion, whose payoff at maturity is max(max(S1*...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/74757390965030456115 |