A rainbow option is an option on a basket that pays a non-equally weighted sum of returns over all assets in the basket according to their performance, where individual asset returns are computed as the percentage growth from initial levels to final levels that may be averages over multiple dates
Abstract. A pricing method resulting in a closed formula is proposed for a large class of options su...
We derive general analytic approximations for pricing European basket and rainbow options on N asset...
We derive a general analytic approximation for pricing basket options on N assets, which is ex-tende...
A rainbow option is an option on a basket that pays a non-equally weighted sum of returns over all a...
The general approach for the pricing of rainbow (or colored) options with fixed transaction costs is...
本篇論文延伸前向蒙地卡羅法 (Forward Monte Carlo Method) 來評價兩資產美式彩虹選擇權。先前已有學者成功發展出評價單資產美式選擇權的前向蒙地卡羅法，並大幅改善了評價效率。這個...
在既有的文獻中，關於彩虹選擇權的評價以及跳躍擴散模型下的單一資產評價文獻都已發展得相當成熟，但卻沒有文獻推導在跳躍擴散模型下的彩虹選擇權評價公式。為解決此問題，我以機率測度轉換方式以及平賭評價方法，於...
[[abstract]]本文介紹如何以計價轉換方法推導出彩虹選擇權的定價公式，並提出了一個新的避險策略，此避險策略的建立基於最小化避險成本的考量，在每一個預測的避險時間點進行避險部位調整，其中調整後的...
A best of option pays the option holder the best return at maturity among a given set of portfolios,...
Options on two underlyings are a common exotic product in the equity and FX derivatives market. The ...
This research determines the optimal investment timing using real options valuation to support decis...
In this paper, we present a numerical method based on the fast Fourier transform (FFT) to price call...
[[abstract]]本文挑選金融類、傳產類、電子類及混合類等四種組合來設計兩資產彩虹選擇權。根據過去學者研究之結果，以準蒙地卡羅法（Sobol低差異序列）模擬標的資產價格，再以MGARCH模型估計...
We derive a closed-form solution for pricing geometric Asian rainbow options under the mixed geometr...
This research determines the optimal investment timing using real options valuation to support decis...
Abstract. A pricing method resulting in a closed formula is proposed for a large class of options su...
We derive general analytic approximations for pricing European basket and rainbow options on N asset...
We derive a general analytic approximation for pricing basket options on N assets, which is ex-tende...
A rainbow option is an option on a basket that pays a non-equally weighted sum of returns over all a...
The general approach for the pricing of rainbow (or colored) options with fixed transaction costs is...
本篇論文延伸前向蒙地卡羅法 (Forward Monte Carlo Method) 來評價兩資產美式彩虹選擇權。先前已有學者成功發展出評價單資產美式選擇權的前向蒙地卡羅法，並大幅改善了評價效率。這個...
在既有的文獻中，關於彩虹選擇權的評價以及跳躍擴散模型下的單一資產評價文獻都已發展得相當成熟，但卻沒有文獻推導在跳躍擴散模型下的彩虹選擇權評價公式。為解決此問題，我以機率測度轉換方式以及平賭評價方法，於...
[[abstract]]本文介紹如何以計價轉換方法推導出彩虹選擇權的定價公式，並提出了一個新的避險策略，此避險策略的建立基於最小化避險成本的考量，在每一個預測的避險時間點進行避險部位調整，其中調整後的...
A best of option pays the option holder the best return at maturity among a given set of portfolios,...
Options on two underlyings are a common exotic product in the equity and FX derivatives market. The ...
This research determines the optimal investment timing using real options valuation to support decis...
In this paper, we present a numerical method based on the fast Fourier transform (FFT) to price call...
[[abstract]]本文挑選金融類、傳產類、電子類及混合類等四種組合來設計兩資產彩虹選擇權。根據過去學者研究之結果，以準蒙地卡羅法（Sobol低差異序列）模擬標的資產價格，再以MGARCH模型估計...
We derive a closed-form solution for pricing geometric Asian rainbow options under the mixed geometr...
This research determines the optimal investment timing using real options valuation to support decis...
Abstract. A pricing method resulting in a closed formula is proposed for a large class of options su...
We derive general analytic approximations for pricing European basket and rainbow options on N asset...
We derive a general analytic approximation for pricing basket options on N assets, which is ex-tende...
DOI
Add to ORKG