Strike Step Put Option (2 graphs)
A strike-step option is a barrier option characterized by a change in the strike when a barrier or trigger price or rate is touched or breached. Specifically a strike-step put option provides for an increase in the put strike corresponding, at least in part, to an increase in the underlying price or rate. The strike-step put provides protection based on a higher strike of the put if the underlying rises through the higher strike without payment of an additional option premium. A strike-step call provides similar protection with a lower strike for a call if the underlying drops to or through the lower strike. The restruck options are standard options which contrast with the roll-up put and roll-down call which convert standard options into knock-out options. See also Barrier Option, Roll- Up Put (diagrams), Roll-Down Call.
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