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Rainbow (multi-asset) options: best-of, worst-of, spread, basket and exchange payoffs on n correlated lognormal assets.
Engines:
- Analytic: Margrabe (exchange, exact), Kirk’s approximation (spread), moment-matched lognormal (basket). Best-of / worst-of have no analytic pricer yet (Stulz for n = 2 is future work) and price on Monte Carlo.
- Monte Carlo: correlated terminal GBM (Cholesky), low-discrepancy or antithetic pseudo-random sampling, deterministic parallel reduction, standard errors.
Greeks: per-asset deltas and vegas by common-random-number bumps;
scalar theta and rho. Each asset carries a flat vol; per-asset smiles
for multi-asset payoffs are future work.