Equation: Worst-of-two-and-cash / Rainbow option parity

Worst-of-two-and-cash / Rainbow option parity

created by:

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

The value of a worst-of-two-and-cash option equals the cash amount minus a rainbow-worst-of-two put option with the strike set to the cash amount.

r	Continuous compounded interest rate
T	Time till expiration
	First asset
	Second asset
	The minimum of a and b
	The maximum of a and b
K	Strike / cash amount
	Worst-of-two-and-cash option
	Rainbow put option

Related Equations
Barrier in-out parity »
Best-of-two, spread option parity »
Best-of-two-and-cash / Rainbow option parity »
Call-Put Parity, Binary asset-or-nothing option »
Call-Put Parity, Binary cash-or-nothing option »
Call-put parity, Rainbow best-of-two »
Call-put parity, Rainbow worst-of-two »
Call-Put Parity, Vanilla Option »
Worst-of-two, spread option parity »
Main Equations Index »

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