Interest in OTC "exotic" options?

[forwardskew]

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

They're not too difficult to price or escrow, but there are enough details to work out.

Thanks!

[boomerlu]

How exactly are you going to hedge these things? Especially when MPOE has ridiculous spreads. What vol surface model are you going to use?