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Let's say I have an option with the following terms. This is for an energy product (ie natural gas)

  1. The contract will last for 6 months
  2. 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.
  3. 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

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  • $\begingroup$ This seems like it's basically a strip of cliquets. $\endgroup$ – will Mar 25 '18 at 13:28

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