Equation: Rainbow option

Rainbow option

created by:

Thijs van den Berg (http://www.sitmo.com)

A rainbow option gives the owner the right to buy/sell the maximum/minimum of two underlying assets for a fixed value -the strike-.

	Value of the rainbow call option at expiration
	Value of the rainbow put option at expiration
	Value of the first underlying asset at expiration
	Value of the second underlying asset at expiration
K	Strike (excersise) price

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Double Barrier option »
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Dual Strike option »
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Lookback option, fixed strike »
Lookback option, floating strike »
Option on a Option (compound) »
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Symmetric Power Option »
Two asset correlation option »
Vanilla option »
Main Equations Index »

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