Worst-of option
Definition · Level 10 · Derivatives pricing
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Payoff on the weakest of several assets. A call on it is cheap and gains as correlation rises; a put on it gains as correlation falls.
Example
Worst-of put on TotalEnergies, LVMH and ASML: the seller is long correlation.
Where Tradecraft teaches it
Level 10 · Derivatives pricing, in the lesson “Asians, worst-ofs, quantos & variance swaps”: Path-dependent and multi-asset payoffs, who is long correlation, and how variance swaps pay.
Related terms
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