MinMax Option


MinMax Option is a
direct subtype of MultiAsset Option
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with functions MinMax Option Functions, keys MinMax Option keys and example object MinMaxOpt

TYPE INCLUSION RELATIONSHIPS

MultiAsset Option

MinMax Option

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Base Option

Is Max

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TYPICAL OBJECTS OF TYPE MinMax Option

MinMaxOpt

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This type represents that represents a specialization that only differs from a
Vanilla Option in that the underlying at exercise time is chosen to be the asset with either the lowest or highest price at that time.
Only two underlying assets are allowed and the payoff can be either
Vanilla or Cash Or Nothing

Generally barriers, discrete dividends and storage costs are not supported.
Exceptionally when the payoff is Cash Or Nothing, discrete dividends are allowed but the pricing is restricted to Europeans.

The pricing methodology is specified in
Model[MultiAsset Option]