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Valuation of Himalaya Option

Name: Valuation of Himalaya Option
Creator: David Lee
Keywords: Himalaya Option, Himalaya option valuation

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 02 Apr 2021 English Publisher:Zenodo

Authors: David Lee;

doi: 10.5281/zenodo.4660329 , 10.5281/zenodo.5759797

Valuation of Himalaya Option

- Summary
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- Related research
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Abstract

A Himalaya option is an option on the sum of the returns of the best (worst) performing assets from a basket on predefined observation dates. It has a set of observation dates are defined. The number of observation dates are equal to the number of underlying assets. The unique feature of Himalaya option is the withdrawal of the best performer asset from the basket at each pre-defined observation date, until only one stock remains.

https://ia601507.us.archive.org/18/items/eq-himalaya-25/EqHimalaya-25.pdf

Keywords

Himalaya Option, Himalaya option valuation

1 Research products, page 1 of 1

Himalaya Option Analytics
2022IsVersionOf

Impact byBIP!

	citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	0
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	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average