Worst Case Pricing of Rainbow Options

Options on two underlyings are a common exotic product in the equity and FX derivatives market. The value of these kinds of options depends on the correlation of the two underlyings. We will present a model to compute a lower bound for the price of this option. The model, represented by a non-linear parabolic PDE, is implemented with finite elements in order to demonstrate the results with several derivatives from the European market.

MoreLess

Year of publication:	2001-10
Authors:	Topper, Jürgen
Institutions:	Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover

Open Access

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Hannover Economic Papers (HEP). - ISSN 0949-9962.
Type of publication:	Book / Working Paper
Notes:	12 pages
Classification:	C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005606980