CoachA best-of option pays on the best performance, for instance for a best-of call.
Voorbeelden
Example 17.4 (The note’s three shares)
For the three shares (volatilities 25%, 30% and 35%, one year, zero rates), the at-the-money worst-of put is worth 0.250 per unit notional with independent shares and 0.152 at a correlation of 0.95. The best-of call falls from 0.284 to 0.160, and the basket call rises from 0.071 to 0.118. The probability that all three end at or above 70% of their start rises from 0.616 to 0.787. At a correlation of 0.4 it is 0.673, and at 0.6 it is 0.707: a five-point error in correlation moves the coupon’s value by about one point of probability.