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. 

 

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