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Options involving two or more risk assets are sometimes referred to as Rainbow Options. There are three types of Rainbow Options: "better-of", "worse-of", and "out-performance".
Assuming no arbitrage possibilities, the following parameters are needed to price a rainbow option:
In this calculator example, we price 3 types of rainbow options which involve two underlyings (two color rainbow option). Interest rates are assumed to be semiannually compounded.