Online Rainbow Option Calculator

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powered by
Derivative toolbox 4.0 - beta
 Output 
Model Input
First Underlying:
Volatility
Second Underlying:
Volatility
Other parameters:
Correlation
Interest Rate
Time to maturity
Strike
..results..

Description

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

Relevant Equations

The payoff equation for this option is given by:

payoff equation