Deriscope

The Excel Derivatives Periscope

Coverage

Basket_Option

Basket Option is a child type of MultiAsset Option that represents a specialization that only differs from a Vanilla Option in that the underlying is a weighted portfolio of assets rather than a single asset.
It is considered an exotic option due to the complex dependence of the portfolio price stochastic evolution upon the volatilities of - and pairwise correlations between - the individual constituents.

The following features are currently not supported by QuantLib:
Barriers, discrete dividends/storage costs.

The pricing methodology is specified in
Model[MultiAsset Option]