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Valuation of Rainbow Option

Name: Valuation of Rainbow Option
Creator: David Lee
Keywords: rainbow option, rainbow option valuation, 8. Economic growth

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 02 Apr 2021 English Publisher:Zenodo

Authors: David Lee;

doi: 10.5281/zenodo.5759794 , 10.5281/zenodo.4660324 , 10.5281/zenodo.4660325

Valuation of Rainbow Option

- Summary
- Subjects
- Metrics

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.

https://ia903404.us.archive.org/15/items/eq-rainbow-24/EqRainbow-archive.pdf

Keywords

rainbow option, rainbow option valuation

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	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average