Exotic options : a guide to second generation options
著者
書誌事項
Exotic options : a guide to second generation options
World Scientific, c1998
2nd ed
- : pbk
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注記
Bibliography: p. 673-687
Includes index
内容説明・目次
内容説明
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.
目次
- From vanilla to exotic options
- vanilla options
- pricing methodology
- packages options
- forward-start options
- power options
- binary options
- compound options
- pay later options/Boston options/installment options
- Asian options
- barrier options
- lookback options
- ladder options
- correlation binary options
- exchange options
- product and ratio options
- two-color rainbow options
- spread options
- outperformance options
- currency-translated options
- basket options
- basket binary options
- pricing correlation options with uncertain correlation coefficients
- possible further developments.
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