Cont and Deguest propose a method for computing model risk exposures in multi-asset equity derivatives .
Cont and Deguest show that options which depend on the worst or best performances in a basket ( so called rainbow option ) are more exposed to model uncertainty than index options .
Cont and Deguest propose a method for computing model risk exposures in multi-asset equity derivatives and show that options which depend on the worst or best performances in a basket ( so called rainbow option ) are more exposed to model uncertainty than index options .