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Published in:
2013 | OriginalPaper | Chapter
8. Multi-asset Options
Authors : Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
Published in: Computational Methods for Quantitative Finance
Publisher: Springer Berlin Heidelberg
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Abstract
In Chap. 6, we considered exotic options written on a single underlying. Further examples of exotic options are given by the so-called multi-asset options. These are options derived from d≥2 underlying risky assets, whose price movement can be described by a system of SDEs. The pricing functions of multi-asset options are multivariate functions satisfying a parabolic partial differential equation in d dimensions, together with an appropriate terminal value depending on the type of the option. We distinguish between different types of European multi-asset options. We distinguish between different types of multi-asset options like basket, rainbow or quanto options.