Investment Banking
Takedown Off The Shelf
July 17, 2021
Derivatives
Light Path-Dependent Option
July 17, 2021

A hard path-dependent option which takes into account every movement in the underlying asset over the life of the option. For example, a dense path-dependent option might be an Asian option whose payoff is determined base on hourly movements in the underlying price. In this sense, the payoff is figured out for every hourly observation, and then the average payoff is calculated by adding up all payoffs and dividing by the number of hours.

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