Rainbow Call Option Price (option on the minimum)

Posted by Szu-Yu (Gary) Pai

Option Price

Input:
Initial underlying asset 1 price
Initial underlying asset 2 price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Volatility of asset 1 (annulized)
Volatility of asset 2 (annulized)
Output:
Call value

The calculation is based on Black-Scholes model with using Quasi-Monte Carlo method.

 •  March 17, 2013  • 

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