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Path-Dependent Option with Strong Memory


A path-dependent option whose payoff depends solely on the route taken during a specified period of time. Examples of this option include average options or Asian options where the option’s payoff depends on every step taken by the underlying asset during the life of the option. Path-dependent options with strong memory can be classified as dense path-dependent options and light path-dependent options.

This type of option is also known as a hard path-dependent option.



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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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