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Derivatives




Worst-Of Option


An option (a special case of rainbow options) where the holder is long put on the worst performing stock (asset) among a specified number of stocks (assets), i.e., the basket. The holder receives the payoff based on the performance of the worst (lowest) return in the basket (also an indice).

This type of options is usually priced by using a Monte Carlo process.

It is also known as an option on the minimum.



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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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