Pricing Multi-asset American Rainbow Options
碩士 === 國立臺灣大學 === 國際企業學研究所 === 105 === This paper modifies Lin (2016)’s quadratic approximation method to develop a multi-asset pricing method for American rainbow options. Specifically, I reconsider different weighting schemes for individual underlying assets when solving the partial differential e...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/xjqs73 |