-
Rainbow Option
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2021
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- rainbow option, best of option, worst of option
- Permanent URL:
- http://dx.doi.org/10.17613/awgf-jb13
- Abstract:
- A rainbow option is an option on a basket that pays a non-equally weighted sum of returns over all assets in the basket according to their performance, where individual asset returns are computed as the percentage growth from initial levels to final levels that may be averages over multiple dates.
- Notes:
- https://alanwhite1203.github.io/EqRainbow-24.pdf
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 2 years ago
- License:
- All-Rights-Granted
eqrainbow-24.pdf