Derivatives
European Parisian Option
September 15, 2021
Derivatives
Second Near the Money
September 16, 2021

A cash-settled call option that combines two lookback options and where it pays the difference between the high and low prices/ rates of an underlying (such as a stock or stock index) reached during a specific period multiplied by the contract size. Holders of a high-low option usually take the view that the market volatility will be higher than the implied volatilities of component lookback options.

Leave a Reply

Your email address will not be published. Required fields are marked *

Related Posts