Rainbow Option
Multi-asset options whose payoff depends on the best or worst performing underlying in a basket.
Exotic OptionsOption Parameters
Multi-asset option whose payoff depends on two correlated underlyings.
$
%
%
$
%
%
-1 to 1
$
%
yr
RAINBOW PRICE
—
—
Type
—
Correlation
—
Std Error
—
Asset 1 (Vanilla BSM)
—
Asset 2 (Vanilla BSM)
—
Price vs Correlation
⌛
Configure parameters and click Calculate
GBM Price Path Simulator — Asset 1
Terminal Price Distribution — Asset 1
Return Distribution — Asset 1
Price Statistics — Asset 1
Return Statistics — Asset 1