Options on the minimum or the maximum of two average prices

DOI10.1023/A:1009658511492MaRDI QIDQ375485zbMATH OpenOpenAlexFDO

Authors Xueping Wu, Jin E. Zhang

Publication date 30 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009658511492

zbMATH Keywords

optionsrisk managementaverage-rate optionsincentive contractrainbow options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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• Rainbow trend options: valuation and applications
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• A Note on Average Rate Options with Discrete Sampling
• Asian rainbow option pricing formulas of uncertain stock model

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