Storage Option
Storage Option is a direct subtype of Exotic Option
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TYPE INCLUSION RELATIONSHIPS
AVAILABLE FUNCTIONS
AVAILABLE CREATE FUNCTION KEYS
TYPICAL OBJECTS OF TYPE Storage Option
This type represents an Option contract that may be exercised more than once at distinct times chosen by the option holder out of a set of predefined exercise-allowing times.
Each exercise involves either a) buying a certain quantity of the underlying at the open market and subsequently storing it in some storage facility or reversely b) withdrawing it from the storage facility and selling it at the market.
Storage options make sense only when the storage facility has a limited capacity and thus the underlying is typical some commodity, rather than equity or fx.
The contract also stipulates a limit on the amount that can be added to or removed from the storage facility at any exercise date.
The following features are currently not supported by QuantLib:
Barriers, discrete dividends/storage costs.
The pricing methodology is specified in Model[Storage Option]