Pricing rainbow options based on the fuzzy pattern of Stulz formula

MaRDI QIDQ5424223zbMATH OpenFDO

Authors Wochiang Lee, Shu-Ching Huang

Publication date 5 November 2007

zbMATH Keywords

fuzzy theoryMGARCHquasi-Monte Carlo methodrainbow option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Actuarial science and mathematical finance (91G99)

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• Pricing rainbow option for uncertain financial market

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