Derivatives

Cylinder Option

April 23, 2022
Derivatives

Second Generation Exotics

April 24, 2022

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An exotic equity option whose value is based on a number (15- 25) of underlying securities. It differs, therefore, from vanilla options which have typically only one underlying asset. The payoff of this option is determined by the combined performance of worst faring stocks over a given period. The Everest option’s maturities extend usually over very long periods of time (10 years and more).

Everest options belong to the class of mountain range options.

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