The Valuation of Rainbow Trend Options
碩士 === 臺灣大學 === 國際企業學研究所 === 98 === This thesis provides a closed-form formula for the rainbow trend options by using the Martingale pricing method. The main contribution of this thesis is to propose a general pricing formula which can be applied to price various kinds of rainbow weighted aver-age o...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/94856482349357516215 |