Let's say I have an option with the following terms. This is for an energy product (ie natural gas)
- The contract will last for 6 months
- The payoff is the difference between the first of month index vs the daily settle price. For example if the first of month index is 3 dollars, the option pays the difference everyday the settle is below 3 dollars, and 0 if it is above.
- Every month, the strike changes to the first of month index for that respective month
I am trying to find how to price the option, along with the greeks. The closest option model I've found is an accumulator option but I am not sure if this falls in the same category