Chapter 23. SPREAD OVER THE RAINBOWS

Peter G. Zhang
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Peter G. Zhang: Vice-President, Capital Markets Research, Chase Manhattan Bank, USA

Chapter 24 in Exotic Options:A Guide to Second Generation Options, 1997, pp 501-507 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONSPREAD OPTIONS OVER THE RAINBOWSRELATIONSHIP BETWEEN THE TWO RAINBOWSPRICING ABSOLUTE OPTIONSAN ALTERNATIVE INTERPRETATIONSUMMARY AND CONCLUSIONSQUESTIONS AND EXERCISES

Date: 1997
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