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Author Topic: Interest in OTC "exotic" options?  (Read 381 times)
forwardskew
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May 09, 2013, 10:26:59 PM
 #1

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!

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boomerlu
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June 05, 2013, 09:56:13 PM
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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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