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Exotics

Two-asset option models

Payoff formulas for options on two assets. 24 payoff types · scroll to view ↓

  1. Best of 2 assets, cashA1 × max[S1, S2, K1]
  2. Best of 2 assetsA1 × max[0, φ1{max(S1,S2) − K1}]
  3. Worst of 2 assetsA1 × max[0, φ1{min(S1,S2) − K1}]
  4. Spread optionA1 × max[0, φ1{(S2 − S1) − K1}]
  5. Dual-strikeA1 × max[0, φ1(S1 − K1), φ2(S2 − K2)]
  6. Down and out (~13) F/CIf S2 > K2 throughout lifeA1 × max[0, φ1(K1 − S1)]
  7. Up and out (~14) F/CIf S2 < K2 throughout lifeA1 × max[0, φ1(K1 − S1)]
  8. Dual-strike, two assetsmax[0, A1×φ1(S1 − K1), A2×φ2(S2 − K2)]
  9. Double KO (~15) F/CIf S2 < K2 and S2 > K3 throughout lifeA1 × max[0, φ1(K1 − S1)]
  10. Down and out (~16) D/CIf S2 > K2 throughout lifeA1 × max[0, φ1(1 − S1/K1)]
  11. Up and out (~17) D/CIf S2 < K2 throughout lifeA1 × max[0, φ1(1 − S1/K1)]
  12. Double KO (~18) D/CIf S2 < K2 and S2 > K3 throughout lifeA1 × max[0, φ1(1 − S1/K1)]
  13. Down and in F/CIf S2 ≤ K2 at any timeA1 × max[0, φ1(K1 − S1)]
  14. Up and in F/CIf S2 ≥ K2 at any timeA1 × max[0, φ1(K1 − S1)]
  15. Double KI F/CIf S2 ≥ K2 or S2 ≤ K3 at any timeA1 × max[0, φ1(K1 − S1)]
  16. Down and in D/CIf S2 ≤ K2 at any timeA1 × max[0, φ1(1 − S1/K1)]
  17. Up and in D/CIf S2 ≥ K2 at any timeA1 × max[0, φ1(1 − S1/K1)]
  18. Double KI D/CIf S2 ≥ K2 or S2 ≤ K3 at any timeA1 × max[0, φ1(1 − S1/K1)]
  19. Commodity × F/C spot at inceptionA1 × max[0, φ1(K1 − S1)/K2]
  20. Dual-strike (worst)A1 × max[0, min(φ1(K1 − S1)/K1, φ2(K2 − S2)/K2)]
  21. Percent changeA1 × max[0, φ1×S1×(K2 − S2)/K2]
  22. Two assetsmax[φ1×A1×(K1 − S1) + φ2×A2×(K2 − S2), 0]
  23. Dual-strike, 2 assets, type 2max[0, A1×φ1(S1 − K1)/K1, A2×φ2(S2 − K2)/K2]
  24. Dual-strike, worst ofA1 × min[max(φ1(S1 − K1),0), max(φ2(S2 − K2),0)]