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Multi-Asset Exotic Option


An option which has more than one asset as underlying. The payoff of the option depends on the performance of all underlying assets in questions. Its value depends on the level of correlation between the underlying assets. A multi-asset exotic option is typically priced on a Monte Carlo simulation engine with local volatilities.

Examples of multi-asset exotics include: spread options, basket options, worst-of options, best-of options, mountain range options, and quanto options.



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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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