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Rainbow option
Rainbow option is a derivative exposed to two or more sources of uncertainty,〔(【引用サイトリンク】publisher=investopedia.com )〕 as opposed to a simple option that is exposed to one source of uncertainty, such as the price of underlying asset.
==Overview==
Rainbow options are usually calls or puts on the best or worst of ''n'' underlying assets, or options which pay the best or worst of ''n'' assets.〔(【引用サイトリンク】publisher=mathworks.com )〕 The number of assets underlying the option is called the number of colours of the rainbow.〔(Rainbow options )〕 The options are often considered a correlation trade since the value of the option is sensitive to the correlation between the various basket components.
Rainbow options are used, for example, to value natural resources deposits. Such assets are exposed to two uncertainties—price and quantity.
Some simple options can be transformed into more complex instruments if the underlying risk model that the option reflected does not match a future reality. In particular, derivatives in the currency and mortgage markets have been subject to liquidity risk that was not reflected in the pricing of the option when sold.
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
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