Microsoft PowerPoint - PoF.ppt

Payoffs of multi-asset optionsƒ 252

Basket option

ƒ

Quanto option

ƒ

And much, much more.

assets

for the

weights

the

are

where,

,

0

max

,

1

i

i

T

i

n i

w

E

S

w

⎞ ⎟ ⎠

⎛ ⎜ ⎝

−

∑=

Derivative securities: Options - Some exotic options

()

rate

exchange

the

is

where,

,

0

⎤ ⎥⎦

⎡ ⎢⎣

−

HCFC

X

E

S

X

FC

FCT