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Correlation Risk

The risk that arises in many types of exotic options (particularly, multi-asset options, basket options, etc.) A correlation risk is...

Best-Of Call

A best-of option whose payoff at maturity is equal to whichever is higher of two values: zero or the maximum...

Equity Basket Option

A basket option whose underlying is a portfolio consisting of a set of stocks or based on a stock index....

Basket Algorithm

A trading algorithm that is used by electronic traders to execute orders on a basket of securities simultaneously (i.e., optimized...

Basket Option

A family of options whose underlying is a basket of assets, commodities, securities, currencies, etc. This multivariate option (warrant) is...

Worst-Of Option

An option (a special case of rainbow options) where the holder is long put on the worst performing stock (asset)...

Basket-Linked CD

A certificate of deposit (CD) that links the rate of return (yield) to the performance of a basket of stocks....

Basket-Linked Certificate of Deposit

A certificate of deposit (CD) that links the rate of return (yield) to the performance of a basket of stocks....

Correlation Swap

An over-the-counter swap that allows investors to take bets on, or hedge against, risks associated with the empirical correlation of...

Realized Correlation Swap

A swap in which the observed correlation between the underlying assets in a basket is used as a basis for...