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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2023-03-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2023542?viewType=HTML |