AMERICAN OPTIONS AND ‘EXOTICS’

T. W. Epps
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T. W. Epps: University of Virginia, USA

Chapter 7 in Pricing Derivative Securities, 2000, pp 299-375 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:American OptionsCalls on Stocks Paying Lump-Sum DividendsOptions on Assets Paying Continuous DividendsIndefinitely-Lived American OptionsCompound and Extendable OptionsOptions on OptionsOptions with Extra LivesOther Path-Independent ClaimsDigital OptionsThreshold Options‘As-You-Like-It’ or ‘Chooser’ OptionsForward-Start OptionsOptions on the Max or MinQuantosPath-Dependent OptionsExtrema of Brownian PathsLookback OptionsBarrier OptionsLadder OptionsAsian Options

Keywords: Arbitrage; Calls; Swaps; Finance; Futures; Hedging; Martingales; Options; P.D.E.S; Puts (search for similar items in EconPapers)
Date: 2000
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