RISK MANAGEMENT: EXOTICS AND SECOND-GENERATION OPTIONS

Mondher Bellalah
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Mondher Bellalah: Université de Cergy-Pontoise, France

Chapter 21 in Derivatives, Risk Management & Value, 2009, pp 877-915 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Chapter OutlineIntroductionExchange OptionsForward-Start OptionsPay-Later OptionsSimple Chooser OptionsComplex ChoosersCompound OptionsThe call on a call in the presence of a cost of carryThe put on a call in the presence of a cost of carryThe formula for a call on a put in the presence of a cost of carryThe put on a put in the presence of a cost of carryOptions on the Maximum (Minimum)The call on the minimum of two assetsThe call on the maximum of two assetsThe put on the minimum (maximum) of two assetsExtendible OptionsThe valuation contextExtendible callsEquity-Linked Foreign Exchange Options and QuantosThe foreign equity call struck in foreign currencyThe foreign equity call struck in domestic currencyFixed exchange rate foreign equity callAn equity-linked foreign exchange callBinary Barrier OptionsPath-independent binary optionsStandard cash-or-nothing optionsCash-or-nothing options with shadow costsStandard asset-or-nothing optionsAsset-or-nothing options with shadow costsStandard gap optionsGap options with shadow costsSupersharesLookback OptionsStandard lookback optionsOptions on extremaOn the maximumOn the minimumLimited risk optionsPartial lookback optionsSummaryQuestionsReferences

Keywords: Options; Forwards; Futures; Valuation; Hedging; Arbitrage; Speculation; Pricing (search for similar items in EconPapers)
Date: 2009
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