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Title: Interest in OTC "exotic" options? Post by: forwardskew on May 09, 2013, 10:26:59 PM Hi all,
Does anyone have any interest in/input into potentially doing some globally-capped locally-floored ratchet options? An example is here: http://www.deltaquants.com/cliquets.html (http://www.deltaquants.com/cliquets.html) They're not too difficult to price or escrow, but there are enough details to work out. Thanks! Title: Re: Interest in OTC "exotic" options? Post by: boomerlu on June 05, 2013, 09:56:13 PM How exactly are you going to hedge these things? Especially when MPOE has ridiculous spreads. What vol surface model are you going to use?
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