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Quantitative Finance · Glossary

What is Worst-of option?

Definition 17.2 Derivatives and Volatility · Chapter 17 — Multi-Asset Options

A worst-of option pays on the worst performance among several assets, for instance (K−min⁡iSi,T/Si,0)+(K-\min_iS_{i,T}/S_{i,0})^+ for a worst-of put.

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