caa a22 4500 605451168 CHVBK 20210128100150.0 cr unu---uuuuu 210128e20150701xx s 000 0 eng 10.1007/s11147-014-9105-0 doi (NATIONALLICENCE)springer-10.1007/s11147-014-9105-0 The valuation of forward-start rainbow options [Elektronische Daten] [Chun-Ying Chen, Hsiao-Chuan Wang, Jr-Yan Wang] This paper studies the valuation and hedging problems of forward-start rainbow options (FSROs). By combining the characteristics of both multiple assets and forward-start feature, this new type of derivative has many potential applications, for instance, to incorporate the reset provision in rainbow options for investors or hedgers or design more effective executive compensation plans. The main contribution of this paper is a novel martingale pricing technique for options whose payoffs are associated with multiple assets and time points. Equipped with this technique, the analytic pricing formula and the formulae of the delta and gamma of the FSRO are first derived. We conduct numerical experiments to verify these formulae and examine the characteristics of the FSRO's price and Greek letters. To demonstrate the importance and general applicability of the proposed technique, we also apply it to deriving the pricing formula for the discrete-sampling lookback rainbow options. Springer Science+Business Media New York, 2014 Discrete-sampling path-dependent option nationallicence Rainbow option nationallicence Forward-start option nationallicence Reset option nationallicence Lookback option nationallicence Chen Chun-Ying Department of Finance, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., 106, Taipei, Taiwan aut Wang Hsiao-Chuan Department of Finance, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., 106, Taipei, Taiwan aut Wang Jr-Yan Department of International Business, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., 106, Taipei, Taiwan aut Review of Derivatives Research Springer US; http://www.springer-ny.com 18/2(2015-07-01), 145-188 1380-6645 18:2<145 2015 18 11147 https://doi.org/10.1007/s11147-014-9105-0 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11147-014-9105-0 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Chen Chun-Ying Department of Finance, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., 106, Taipei, Taiwan aut NATIONALLICENCE 700 1- Wang Hsiao-Chuan Department of Finance, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., 106, Taipei, Taiwan aut NATIONALLICENCE 700 1- Wang Jr-Yan Department of International Business, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., 106, Taipei, Taiwan aut NATIONALLICENCE 773 0- Review of Derivatives Research Springer US; http://www.springer-ny.com 18/2(2015-07-01), 145-188 1380-6645 18:2<145 2015 18 11147