Exotic Options:A Guide to Second Generation Options
P G Zhang
Additional contact information
P G Zhang: Chase Manhattan Bank
in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.
Abstract:
This book provides the first systematic classification and treatment to essentially all exotic options currently trading at the Over-the-Counter (OTC) market. It contains exact closed-form pricing formulae and approximated closed-form pricing formulae for all popular exotic options. It includes arguments for and pricing formulae of exotic options with more flexibility than most popular exotic options such as flexible Asian options with flexible weights to various observations in the average, Asian barrier options, correlation digital options, etc. Most of the analyses in this book are within the Black-Scholes environment so that comparisons of each type of exotic options with the Black-Scholes model can be made readily. Emphases have been paid to illustrate the ideas of products clearly and show how to use the pricing expressions conveniently. The book contains many pricing formulae and analyses which do not exist in the literature.
Date: 1997
ISBN: 9789810222222
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Citations: View citations in EconPapers (4)
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https://www.worldscientific.com/worldscibooks/10.1142/2713 (text/html)
Ebook Access is available upon purchase
Chapters in this book:
- Ch 1 Chapter 1. FROM VANILLA OPTIONS TO EXOTIC OPTIONS , pp 3-19
- Peter G. Zhang
- Ch 2 Chapter 2. OPTION PRICING METHODOLOGY , pp 21-52
- Peter G. Zhang
- Ch 3 Chapter 3. VANILLA OPTIONS , pp 55-87
- Peter G. Zhang
- Ch 4 Chapter 4. AMERICAN OPTIONS , pp 89-110
- Peter G. Zhang
- Ch 5 Chapter 5. ASIAN OPTIONS , pp 111-131
- Peter G. Zhang
- Ch 6 Chapter 6. APPROXIMATING ARITHMETIC ASIAN OPTIONS WITH CORRESPONDING GEOMETRIC ASIAN OPTIONS , pp 133-159
- Peter G. Zhang
- Ch 7 Chapter 7. FLEXIBLE ARITHMETIC ASIAN OPTIONS , pp 161-184
- Peter G. Zhang
- Ch 8 Chapter 8. FORWARD-START OPTIONS , pp 185-191
- Peter G. Zhang
- Ch 9 Chapter 9. ONE-CLIQUE OPTIONS , pp 193-199
- Peter G. Zhang
- Ch 10 Chapter 10. VANILLA BARRIER OPTIONS , pp 201-256
- Peter G. Zhang
- Ch 11 Chapter 11. EXOTIC BARRIER OPTIONS , pp 257-332
- Peter G. Zhang
- Ch 12 Chapter 12. LOOKBACK OPTIONS , pp 333-355
- Peter G. Zhang
- Ch 14 Chapter 13. EXCHANGE OPTIONS , pp 363-374
- Peter G. Zhang
- Ch 15 Chapter 14. OPTIONS PAYING THE BEST/WORST AND CASH , pp 375-389
- Peter G. Zhang
- Ch 16 Chapter 15. STANDARD DIGITAL OPTIONS AND CORRELATION DIGITAL OPTIONS , pp 391-419
- Peter G. Zhang
- Ch 17 Chapter 16. QUOTIENT OPTIONS , pp 421-429
- Peter G. Zhang
- Ch 18 Chapter 17. PRODUCT OPTIONS AND FOREIGN DOMESTIC OPTIONS , pp 431-439
- Peter G. Zhang
- Ch 19 Chapter 18. FOREIGN EQUITY OPTIONS , pp 441-449
- Peter G. Zhang
- Ch 20 Chapter 19. EQUITY-LINKED FOREIGN EXCHANGE OPTIONS , pp 451-458
- Peter G. Zhang
- Ch 21 Chapter 20. QUANTO OPTIONS , pp 459-468
- Peter G. Zhang
- Ch 22 Chapter 21. RAINBOW OPTIONS , pp 469-477
- Peter G. Zhang
- Ch 23 Chapter 22. SPREAD OPTIONS , pp 479-500
- Peter G. Zhang
- Ch 24 Chapter 23. SPREAD OVER THE RAINBOWS , pp 501-507
- Peter G. Zhang
- Ch 25 Chapter 24. DUAL-STRIKE OPTIONS , pp 509-514
- Peter G. Zhang
- Ch 26 Chapter 25. OUT-PERFORMANCE OPTIONS , pp 515-528
- Peter G. Zhang
- Ch 27 Chapter 26. ALTERNATIVE OPTIONS , pp 529-538
- Peter G. Zhang
- Ch 28 Chapter 27. BASKET OPTIONS , pp 539-548
- Peter G. Zhang
- Ch 29 Chapter 28. PRICING CORRELATION OPTIONS WITH UNCERTAIN CORRELATION COEFFICIENTS , pp 549-572
- Peter G. Zhang
- Ch 30 Chapter 29. PACKAGE OR HYBRID OPTIONS , pp 575-584
- Peter G. Zhang
- Ch 31 Chapter 30. NONLINEAR PAYOFF OPTIONS , pp 585-596
- Peter G. Zhang
- Ch 32 Chapter 31. COMPOUND OPTIONS , pp 597-604
- Peter G. Zhang
- Ch 33 Chapter 32. CHOOSER OPTIONS , pp 605-614
- Peter G. Zhang
- Ch 34 Chapter 33. CONTINGENT PREMIUM OPTIONS , pp 615-625
- Peter G. Zhang
- Ch 35 Chapter 34. OTHER EXOTIC OPTIONS , pp 627-635
- Peter G. Zhang
- Ch 36 Chapter 35. HEDGING EXOTIC OPTIONS , pp 639-643
- Peter G. Zhang
- Ch 37 Chapter 36. FURTHER DEVELOPMENT , pp 645-672
- Peter G. Zhang
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