文档介绍：Exotic Options Chapter 19
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Types of Exotics
Package
Nonstandard American options
Forward start pound options
Chooser options
Barrier options
Binary options
Lookback options
Shout options
Asian options
Options to exchange one asset for another
Options involving several assets
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Packages (page 435)
Portfolios of standard options
Examples from Chapter 9: bull spreads, bear spreads, straddles, etc
Often structured to have zero cost
One popular package is a range forward contract
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Non-Standard American Options (page 436)
Exercisable only on specific dates (Bermudans)
Early exercise allowed during only part of life (. there may be an initial “lock out” period)
Strike price changes over the life
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Forward Start Options (page 437)
Option starts at a future time, T1
mon in employee stock option plans
Often structured so that strike price equals asset price at time T1
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Compound Option (page 437)
Option to buy / sell an option
Call on call
Put on call
Call on put
Put on put
Can be valued analytically
Price is quite pared with a regular option
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Chooser Option “As You Like It”(page 438)
Option starts at time 0, matures at T2
At T1 (0 < T1 < T2) buyer chooses whether it is a put or call
A few lines of algebra shows that this is a package
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Chooser Option as a Package
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Barrier Options (page 439)
es into existence only if stock price hits barrie