Mathematical analysis of the two-color partial rainbow options

DOI10.1080/00036810500047774MaRDI QIDQ5312745zbMATH OpenOpenAlexWikidataFDO

Authors Eric C. Chang, Haitao Fan, Der-Chen Chang, D. M. Nhieu

Publication date 25 August 2005

Published in Applicable Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00036810500047774

zbMATH Keywords

Black-Schole's formulaeintegral representationoption pricing

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• The pricing of options and corporate liabilities

Cited in

(2)

• Rainbow trend options: valuation and applications
• The heat kernel for Kolmogorov type operators and its applications

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