Rainbow trend options: valuation and applications

DOI10.1007/S11147-016-9125-Z;zbMath1417.91516MaRDI QIDQ1621622

Mao-Wei Hung, Yi-Chen Ko, Jr-Yan Wang, Hsiao-chuan Wang

Publication date: 9 November 2018

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

Full work available at URL: https://rd.springer.com/content/pdf/10.1007%2Fs11147-016-9125-z.pdf

zbMATH Keywords

rainbow optionasset selectionmartingale pricing methodtiming risktrend option

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Options on the minimum or the maximum of two average prices
• Martingales and arbitrage in multiperiod securities markets
• Transformations of Wiener integrals under translations
• The Numerical Evaluation of Certain Multivariate Normal Integrals

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