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Pyramid Option


A type of maximum option in which the payoff is the maximum norm achieved by its underlying(s) over its life. More specifically, the payoff is equal to the maximum of either zero or the difference between the cumulative absolute difference “underlying price – respective strike price” and the option’s strike price. Mathematically, it is given by:

Pyramid Option Payoff


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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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