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Derivatives

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  • July 17, 2021
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Light Path-Dependent Option

A path-dependent option which takes into account infrequent movements in the underlying asset over the life of the option. For example, a light-dependent option might be an Asian option whose payoff is determined based on monthly movements in the underlying price. In this sense, the payoff is figured out for every monthly observation, and then the average payoff is calculated by adding up all payoffs and dividing by the number of months.


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