Multi-assets Asian rainbow options pricing with stochastic interest rates obeying the Vasicek model

Multi-assets Asian rainbow options pricing with stochastic interest rates obeying the Vasicek model

Asian rainbow options provide investors with a new option solution as an effective tool for asset allocation and risk management. In this paper, we address the pricing problem of Asian rainbow options with stochastic interest rates that obey the Vasicek model. By introducing the Vasicek model as the...

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Bibliographic Details
Main Authors: Yao Fu, Sisi Zhou, Xin Li, Feng Rao
Format: Article
Language:English
Published: AIMS Press 2023-03-01
Series:AIMS Mathematics
Subjects:
vasicek model
rainbow options
asian options
monte carlo simulation
multi-asset option
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2023542?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2023542?viewType=HTML

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