It stands for zero-strike call option; a call option in which the strike price is set at zero. The underlying of this option is typically a non-marketable asset such as shares in a hedge fund, portfolio, or even a security with no deep secondary market. The holder of the option will have full participation in the underlying price in an indirect way. More specifically, this structure is usually used to sell an interest in illiquid assets to a customer.
For example, a hedge fund of funds may seek to acquire an interest in off-balance-sheet assets. It can buy a zero strike call (ZSC) from a hedge fund that holds the assets in question. If the underlying asset increases in value, the hedge fund of funds pockets the appreciation value.
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