Contract Description 

Altiplano options have two components: 

- a vanilla-type payoff if a barrier event occurs

- a coupon payoff if it does not


Given a basket of n stocks, the payoff is:      Altiplano payoff

where IB is 1 if barrier event occurs and 0 if it does not, in which case the option would pay a coupon C. 

Here we have used a call option, but we could use any option. 


The barrier activation can usually be made by the individual assets themselves. This makes the Altiplano sensitive to individual asset moves, rather than the collective sum. 




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