Go to Deriscope's documentation start page

Option_On_Maximum

Option On Maximum is a Tradable that represents a Multi Asset Option that only differs from a Vanilla Option in that the underlying at exercise time is chosen the asset with the highest price at that time.

The following features are currently not supported by QuantLib.
Barriers, discrete dividends/storage costs.

The pricing methodology is specified in
Model[Multi Asset Option]

The following QuantLib issues have been identified:
Issue::MultiAssetOption_Mixed_StartDateIgnored
Issue::MultiAssetOption_PayAtExpiry_Ignored