Rainbow Option Correlation Premium Calculator

Calculate rainbow option (option on best or worst of multiple assets) price using Stulz formula. The correlation between assets is the key driver of rainbow option pricing.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How It Works

Calculate rainbow option (option on best or worst of multiple assets) price using Stulz formula. The correlation between assets is the key driver of rainbow option pricing

Each component has a specific meaning:

  • Stulz formula — The stulz formula recorded for the scenario being assessed.

Note: Interpret the rainbow option result against the thresholds and context described above.

How to Use

Enter the Stulz formula for the scenario you are assessing. Calculate rainbow option (option on best or worst of multiple assets) price using Stulz formula. The correlation between assets is the key driver of rainbow option pricing. Use the rainbow option result to inform your calculation.

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Frequently Asked Questions