Napolean options were introduced by Goldman Sachs in 2002 are exotic equity linked structures on the lines of Societe Generale's mountain range series. These options are typically based upon the performance of a stock index and the performance of the underlying stocks in the index.

These options usually pay out a fixed coupon and the worst return of an index over specified time periods.

Pricing:

Similar to other basket based products, Napolean's need to be priced using some sort of simulation methodology. This will involve solving a multi-dimensional problem, normally by simulating assets via monte carlo simulation and will be computationally intensive.

For more information on the mountain range options, please refer to the mountain range page.

Other Known Names / Variants:

Mountain Range Options

Additional/Useful List of resources

Papers: