Exotic options: conceptualization and evolution in the literature from a systematic review

Gabriela Pesce (), Florencia Verónica Pedroni (), Etelvina Chávez (), María de la Paz Moral () and María Andrea Rivero ()
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Gabriela Pesce: Departamento de Ciencias de la Administración, Universidad Nacional del Sur (DCA, UNS)
Florencia Verónica Pedroni: National University of the South
Etelvina Chávez: Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET); Departamento de Ciencias de la Administración, Universidad Nacional del Sur (DCA, UNS)
María de la Paz Moral: Departamento de Ciencias de la Administración, Universidad Nacional del Sur (DCA, UNS)
María Andrea Rivero: Departamento de Ciencias de la Administración, Universidad Nacional del Sur (DCA, UNS)

Lecturas de Economía, 2021, issue 95, 231-275

Abstract: The article develops a conceptual analysis of the literature on exotic options based on two specific objectives: first, to describe the main concepts, characteristics and types of exotic options; second, to analyze the evolution of publications on the subject. Methodologically, we carry out a documentary research of classical authors and a systematic review of the literature under protocol in the bibliographic databases Scopus and Web of Science. The 96 publications obtained are submitted to bibliometric and content analysis. We identify articles published mainly in journals (72%) between 2006 and 2015 (64%), mostly on valuation of exotic options. Options depending on the price path of the underlying asset are the most applied, especially barrier, lookback and Asian. As a theoretical contribution, the analysis of the evolution of literature represents a substantial foundation for future studies, as it enables the most relevant publications on exotic options to be individualized, detects gaps in the field of knowledge, and recognizes growing topics. On a practical level, a better understanding of the subject could lead to a greater use of exotic instruments.

Keywords: derivative; option trading; derivatives market; exotic derivatives; path dependent option (search for similar items in EconPapers)
JEL-codes: G10 G13 G19 G32 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.17533/udea.le.n95a342627

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