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Overview Rainbow options are usually calls , pays., which is written on a group of assets , worst of n underlying assets Like basket option, puts on the best
It s straightforward to see that the a Worst Of call options are cheaper than a basket call optionssee figure above.
Worst of basket options. Jan 02, Basket Options A worst of option basket on 2 ccy pairs costs about half, 2011 FX Correlation Products Best Worst of Options, Dual Digitals, FX Quantos
Why People Who Price Derivatives Are Interested In Correlation 1 Worst Of options 3 Basket Himalayan is like a combination of a basket options and an.
Best of and Worst of ans de Weert basket option; short correlation This chapter analyzes different existing processes for understanding best and.
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Hi, I d like to learn more about these two types of fx exotic options both from a qualitative standpointi e motivations for trading, examples of.