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A multifactor option
(or multiasset option)
is an option whose payoff depends upon the performance of two or more
underliers. There are three general categories:
 basket options are options
on a portfolio or "basket" of underlier values;
quantos are derivatives
that have an underlier
denominated in one currency, but settle in another currency without
exposure to currency fluctuations.
rainbow options are multifactor options other than basket
options or quantos.
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