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- Volatility Derivatives 1
- The world of Structured Products 4
- Library of Structured Products 0
- Table of Contents
- Vanilla Options
- Volatility, Skew and Term Stru
- Option Sensitivies: Greeks
- Option Strategies
- Correlation
- Dispersion Options
- Barrier Options
- Digitals
- Autocallable Structures
- The Cliquet Family
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- Library of Structured Products /
- Mountain Range Options /
- Altiplano Option /
- Introduction
Introduction
In the late 1990's, SocGen introduced a series of options on baskets of assets that are now referred to as Mountain Range options.
What these options share is a strong dependence on the correlation structure of the assets, brought about by their nonlinear and path-dependent payoffs.
But beyong this similarity, each type has its own distinct payoff tailored to its own risk profile and use, making each deserving of its own study.