*Exotic OptionsExotic options

Patrice Poncet () and Roland Portait
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Patrice Poncet: ESSEC Business School
Roland Portait: ESSEC Business School

Chapter 14 in Capital Market Finance, 2022, pp 549-605 from Springer

Abstract: Abstract There is no established classification for the numerous exotic options traded in the market. We choose to distinguish path-independent options whose payoffs only depend on the final value of the underlying asset, and path-dependent options whose payoffs depend also on its trajectory. Among the first type, we describe forward start options, binary or digital and double digital options, multi-underlying options, compound options, and quanto and combo options. Among the second we analyze barriers (and double barriers and Parisians), lookbacks, options on averages or Asians, and choosers. We concentrate on mathematical models of valuation which lead to closed formulas, even if they are complicated.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-84600-8_14

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DOI: 10.1007/978-3-030-84600-8_14

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