- Review of Plain Vanilla Options
- Basic pricing framework
- The Greeks
- General Introduction to Exotic Options
- Comparison with vanilla options
- Why users sometimes prefer exotic options
- Barrier Options
- Up, down, in and out options
- Rebates
- Single, double barriers
- Outside barriers
- Non-linear barriers
- The Greeks of barriers and the problem
of infinite gamma
- The hedging problems with reverse knock-out
options
Case study: Index call option with an FX
barrier knock-out option. A recent example
of a knock-out option with the knock-barrier
external
- Ladder and Cliquet Options
- Examples of long-term structures
- Multi-factor Options
- Basket options
- Exchange options
- Correlation options
- Out-performance options
- Rainbow options
- Quantos and other currency-related products
- The importance and difficulty of estimating
long-term correlation to price multifactor
options
Case study: Commodity spread options in
non-standard currencies
- Digital Options
- The simple idea of a bet
- Asset or nothing, cash or nothing options
- One-touch, double-touch binary options
- The Greeks of digitals
- Compound Options
- Call on call, call on put, put on call,
put on put
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- Chooser Options
- Construction from plain vanilla options
- Hedging Exotic Options
- Examining the behaviour of exotic options
near expiry and barrier levels.
Case study: The large USD / YEN exotic structure
issued in March 2004 giving very unusual
gamma profile near barrier
- Constructing non-standard payoff profiles
using exotic options
- Contingent options
- Pay later options
- Money-back options
- Range bets
- Enhanced range forwards
- Structured Products
- Using combinations of vanilla and exotic
options to build structured products
- Advantages and disadvantages of some combinations
- Volatility Smiles
- The influence of volatility surfaces on
the pricing of exotic options
- Pricing Software
- A review of the various software vendors
pricing exotic options
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