DESCRIPTION AND PRICING OF SELECTED TWO-ASSET OPTIONS AND SUGGESTIONS CONCERNING THEIR USE ON THE GRAIN MARKET IN POLAND

Keywords: Multivariate comparative analysis, Corn productions, Correlation, Correlation option

Abstract

Multi-asset options are options with payoffs affected by at least two underlying instruments. These instruments can be assets such as stocks, indices, currencies or commodities. An important factor influencing values of multi-asset options is correlation among log-returns of underlying assets. Thus the options are also called correlation options. In the paper there are presented description and models for pricing selected correlation options: quotient, product, spread and two-color rainbow options. There are also given some examples of their use on the grain market in Poland.

Downloads

Download data is not yet available.
Published
2013-06-30
How to Cite
Krawiec, M. (2013). DESCRIPTION AND PRICING OF SELECTED TWO-ASSET OPTIONS AND SUGGESTIONS CONCERNING THEIR USE ON THE GRAIN MARKET IN POLAND. Acta Scientiarum Polonorum. Oeconomia, 12(2), 37-53. Retrieved from https://aspe.sggw.pl//article/view/4079