Correlation-Dependent Option – Fincyclopedia
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Correlation-Dependent Option


An exotic option whose payoff depends on the prices of a set of underlying assets, where the option is priced based on estimated correlations among those assets. Examples of correlation-dependent options include: exchange options, spread options, quanto options, basket options, etc.



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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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