Himalaya Option

Tim Xiao
2021
Himalaya option is a popular version of maintain range options that basically pays the sum of the best performers of a basket of assets over a particular time horizon. Maintain range options are exotic options that have multiple underlying assets, path-dependency, and best (worst) of payoff structure. They include Everest options, Atlas options, Altiplano options, and Himalaya options.
doi:10.17613/0cfr-ce72 fatcat:ftk2yr3wsbexpeu5d5pvedjvu4