Chapter 25. OUT-PERFORMANCE OPTIONS

Peter G. Zhang
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Peter G. Zhang: Vice-President, Capital Markets Research, Chase Manhattan Bank, USA

Chapter 26 in Exotic Options:A Guide to Second Generation Options, 1997, pp 515-528 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONOUT-PERFORMANCE OPTIONSPRICING OUT-PERFORMANCE OPTIONS WITH GROSS RETURNS AS PERFORMANCE MEASUREAN APPROXIMATING CLOSED-FORM FORMULAPRICING OUT-PERFORMANCE OPTIONS WITH LOGARITHM RETURNS AS PERFORMANCE MEASUREGREEKS FOR OUT-PERFORMANCE OPTIONSSUMMARY AND CONCLUSIONSQUESTIONS AND EXERCISESQuestionsExercisesAPPENDIX

Date: 1997
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