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Worst-of option
An option that provides the holder with a payoff based on the worst performing underlying included in a predefined basket of underlyings used as a reference.
In the expression worst-of-X-assets option, the X represents the number of underlyings in the basket.
Synonyms and variations
- Worse-of-two-assets option
- Worst-of-two option
- Worst-of-X-assets option