How would you price a multi worst of option on basket? i.e an option that would have as payoff the average performance of N (n>1) worst performing equity in a basket of M securities (M>N).Will I meet problem when going into higher dimensionality? (e.g M>10)Any suggestion, comment welcome.Thanks.Text

hi,i have the same problem,i need to price a worst staff.i have a basket of 3 underlyings(the correlation has to be taken into consideration),and if the barriere is reached the investor recieves the worst equityhave you got a code or something for this kind of derivative products?please help...

Hi rhmari,You say: i have a basket of 3 underlyings(the correlation has to be taken into consideration),and if the barriere is reached the investor recieves the worst equityIs your barrier variable different from any of the three stocks in the basket? If so, what is it?-----------

hithank you for your answerhere is a description of the product :it's a 1 year 8.75% Sweet Reverse Convertible Worst of let's say 3 equities A ,B and CEach unit will be redeemed as follows,depending on A,B,C closing prices on the maturity date:If at least one of the shares included in the basket has fallen under the barrier of -25% during the life of the product:+ if all the underlying shares close above their respective strikes,each note is redeemed at par(100%)+otherwise,the investor receives N shares of the worst performer share per noeIf none of the underlying shares has touched its respective barrier,each note will be redeemed at par(100%)basket of sharesShare Strike BarriereA 350 -25%B 150 -25%C 50 -25%the product seems complicated to price but i have to do it.it will be better if i can price it just using a mathematical model inplemented in VBA Exceli can communicate the correlations of A.B and C and also the volatilities of these underlyingsi hope that somebody has already priced this kind of products and can help doing itthanks very much for your help

Is the barrier observed monthly weekly ?This is fairly straightforward you woulda) Generate correlated brownian motion. (there is plenty of examples here)b) Take these and apply the barrier condition.c) compute the payoff.d) take the mean and std error.

hi quantie thanks for your messagethe barrier is observed daily.i know that i have to generate 3 correlated brownian motions but how?and how can i apply the barrier condition?can you please give me a link so i can find what i'am looking for`?do u know if somebody has the code IN VBA Excel to price these kinds of products.Thanks for your help