Wait until calculator button appears. Sometimes You Need To Press Refresh

Options involving two or more risk assets are sometimes referred to as Rainbow Options. There are three types of Rainbow Options: "better-of", "worse-of", and "out-performance".

Assuming no arbitrage possibilities, the following parameters are needed to price a rainbow option:

  1. Tenor of the Option: T
  2. Spot price of the underlyings
  3. Dividend rates for the underlyings
  4. Volatility of the underlyings
  5. Correlation between returns of asset A and B
The pricing of a rainbow option is independent of an interest rate.

In this calculator example, we price 3 types of rainbow options which involve two underlyings (two color rainbow option). Interest rates are assumed to be semiannually compounded.

Pricing Models Page Available is a Swing Java Jar File if you just wish to run the models.

Black-Scholes  Black  Garman  Merton  Whaley  Binomial  Average Asian  Asset  Binary  Barrier  Compound  LookBack  Rainbow  Quanto  Volatility Indicator  Implied Volatility  Historic Volatility  Forward Rate Agreement  FX Forward  Monte Carlo  Bonds  Convertible Bonds