-
Tim Xiao deposited Best of or Worst of Option Valuation in the group
Business Management on Humanities Commons 4 years, 8 months ago A best of option pays the option holder the best return at maturity among a given set of portfolios, where each portfolio may be defined by a set of weights on the same underlying basket or different baskets. These are chooser options that return the best performing among several baskets of funds or indices that reflect growth, moderate and conservative investment styles. The returns could be based on average (Asian), single currency or quanto. The final payoff could be capped and floored.