Published November 13, 2022 | Version v2
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Ratio Tunnel Option Model

Creators

  • 1. BMO

Description

A ratio tunnel option offers the contract holder the right either long or short, at a contract maturity, a preset underlying collar. Notional principals and strikes in the collar may be different. In the system, the ratio tunnel option and the underlying collar are strictly European type. The ratio tunnel option model applies analytical close form pricing formulae for vanilla compound options.

Notes

https://finpricing.com/lib/EqCallable.html

Files

RatioTunnelOption.pdf

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