Stulz Model
Price European rainbow option with maximum of two risky assets
using option pricing model
The Stulz model for rainbow options is a tool for pricing and managing multi-asset derivatives, offering insights into how correlations and multiple underlying assets impact option valuation. Price and analyze rainbow option instruments using a Stulz model with the following functions:
Functions
maxassetbystulz | Determine European rainbow option price on maximum of two risky assets using Stulz option pricing model |
maxassetsensbystulz | Determine European rainbow option prices or sensitivities on maximum of two risky assets using Stulz pricing model |
minassetbystulz | Determine European rainbow option prices on minimum of two risky assets using Stulz option pricing model |
minassetsensbystulz | Determine European rainbow option prices or sensitivities on minimum of two risky assets using Stulz option pricing model |
Topics
- Equity Derivatives Using Closed-Form Solutions
Financial Instruments Toolbox™ supports four types of closed-form solutions and analytical approximations to calculate price and sensitivities.
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
