Exotic Options

Norbert Hilber, Oleg Reichmann, Christoph Schwab and Christoph Winter
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Norbert Hilber: Zurich University of Applied Sciences
Oleg Reichmann: Swiss Federal Institute of Technology (ETH)
Christoph Schwab: Swiss Federal Institute of Technology (ETH)
Christoph Winter: Allianz Deutschland AG

Chapter Chapter 6 in Computational Methods for Quantitative Finance, 2013, pp 75-84 from Springer

Abstract: Abstract Options with more sophisticated rules than those for plain vanillas are called exotic options. There are different types. Path dependent options depend on the whole history of the underlying and not just on the realization at maturity. In particular, we consider barrier options which depend on price levels being attained over a period and Asian options which depend on the average price of the option’s underlying over a period. Furthermore, we look at options which have different exercise styles like compound options which are options on options and swing options which have multiple exercise rights. We assume that the dynamics of the stock price is modeled by a geometric Brownian motion.

Keywords: Option Price; Geometric Brownian Motion; Barrier Option; Asian Option; Compound Option (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-35401-4_6

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DOI: 10.1007/978-3-642-35401-4_6

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