Exotic Options
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About the Lecture
The lecture Exotic Options by Edu Pristine is from the course Archiv - Market Risks. It contains the following chapters:
- Introduction
- Types of Exotic Options
- Packages
- Zero-cost product
- Non-Standard American Options
- Forward Start Options
- Compound Option
- Chooser Option
- Barrier Options
- Binary Options
- Lookback Options
- Shout Options
- Asian Options
- Exchange Options
- Rainbow Options
- Variance and Volatility Swaps
Author of lecture Exotic Options
Edu Pristine
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Excerpts from the accompanying material
... are what are called plain vanilla products. Have standard well-defined properties and trade actively on exchanges. OTC derivatives market has a number ...
... options Lookback options Shout options Asian options Options to exchange one asset for ...
... standard contracts -European calls, -European puts, -Forward contracts, -Cash, ...
... a short position in a call with a high strike price, KH. Guarantees UL asset can be sold for a ...
... allowed during only part of life (initial "lock out" period). Strike price changes over the life (warrants, convertibles). Example: In a 7-year warrant, ...
... employee stock option plans. Often structured so that strike ...
... to buy or sell an option. Call on call, Put on ...
... stock price hits barrier before option maturity. 'In' options Option dies if stock price hits barrier before option ...
... if ST > K, otherwise pays nothing. ...
... at time T Allows buyer to sell stock at highest observed price in some interval of time. Fixed lookback call pays ...
... once during option life. Final payoff is either usual option payoff, ...
... -Call: max(ST – Save, 0) -Put: max(Save – ST, 0) No exact analytic valuation. ...
... to exchange one asset for another. For example, an option ...
... puts and call options that make a bet on the underlying assets. The number of ...
... option is an option to buy or sell a portfolio of assets ...
... variance units, which is equal to Vega Notional / (2 * Variance Strike) Hedging a variance swap can be done using a portfolio of European call and put options with weights inversely proportional to the ...
... Dynamic Hedging, where one takes a position in the underlying counter to that of the option position. Problem with this ...
