This is the first systematic and extensive book on exotic options. The book covers essentially all popular exotic options currently trading in the Over-the-Counter (OTC) market, from digitals, quantos, spread options, lookback options, Asian options, vanilla barrier options, to various types of exotic barrier options and other options. Each type of exotic options is largely written in a separate chapter, beginning with the basic concepts of the products and then moving on to how to price them in closed-form solutions. Many pricing formulae and analyses which have not previously appeared in the literature are included and illustrated with detailed examples. It will be of great interest to traders, marketers, analysts, risk managers, professors, graduate students, and anyone who is interested in what is going on in the rapidly changing financial market.
Contents:
- From Vanilla Options to Exotic Options
- Option Pricing Methodology
- Vanilla Options
- American Options
- Asian Options
- Approximating Arithmetic Asian Options with Corresponding Geometric Asian Options
- Flexible Arithmetic Asian Options
- Forward-Start Options
- One-Clique Options
- Vanilla Barrier Options
- Exotic Barrier Options
- Lookback Options
- Exchange Options
- Options Paying the Best/Worst and Cash
- Standard Digital Options and Correlation Digital Options
- Quotient Options
- Product Options and Foreign Domestic Options
- Foreign Equity Options
- Equity-Linked Foreign Exchange Options
- Quanto Options
- Rainbow Options
- Spread Options
- Spread Over the Rainbows
- Dual-Strike Options
- Out-Performance Options
- Alternative Options
- Basket Options
- Pricing Correlation Options with Uncertain Correlation Coefficients
- Package or Hybrid Options
- Nonlinear Payoff Options
- Compound Options
- Chooser Options
- Contingent Premium Options
- Other Exotic Options
- Hedging Exotic Options
- Further Development
- Payoff Functions for Various Options
- Table of Cumulative Function Values of the Standard Normal Distribution
Readership: Professionals in the financial industry, interested general readers, and academics.
