Exotic Options – Supershare Options

File Name: Exotic Options – Supershare Options

Location: Modeling Toolkit | Exotic Options | Supershares

Brief Description: Computes the value of an option where it is a hybrid of a double barrier Fairway option that pays a percentage proportional to the level it is in the money within the barriers

Requirements: Modeling Toolkit

Modeling Toolkit Function Used: MTSuperShareOptions

Typically, Supershare Options are traded or embedded in supershare funds. These options are related to Down and Out, Up and Out double barrier options, where the option has value only if the stock or asset price is between the upper and lower barriers, and at expiration, the option provides a payoff equivalent to the stock or asset price divided by the lower strike price (S/X Lower). See Figure 72.1.

Figure 72.1: Supershare options


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