Pricing Rainbow Options
Imagine’s clients are making increasing use of our Monte Carlo Generator to price multi-asset best-of/worst-of options (aka Rainbow Options). The pricing solution presented in this blog leverages the flexibility of the Imagine Financial Platform (IFP). More specifically, the IFP Model Interface and the IFP Monte Carlo Simulation Generator, as described below.
The readers of Hedgeweekvoted Imagine as Best Risk Management Software Firm in the 2018 awards survey.