A reverse cliquet with quarterly resets pays an annual coupon of 15% less the return during any
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A reverse cliquet with quarterly resets pays an annual coupon of 15% less the return during any quarter in which the return is negative. The index is at 1000 at the beginning of the year and takes values of 900, 1000, 1100, and 1050 at the end of each of the succeeding quarters. What is the final payoff of this option?
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