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exotic-options

  1. Nicole Seaman

    YouTube T3-45 - Exotic options: floating and fixed lookback option

    Floating lookback options have no strike price. The payoff of a floating lookback call is given by S(t) - S(min) and the payoff of a floating lookback put is given by S(max) - S(t). Fixed lookback options do have strike prices. The payoff of a fixed lookback call is given by max[0, S(Max) - K]...
  2. Nicole Seaman

    YouTube T3-44 - Exotic options: binary (aka, digital) option

    A binary (aka, digital) option can be either an asset-or-nothing binary or a cash-or-nothing. The asset-or-nothing call pays the full asset price if the stock price exceeds the strike price at maturity; the cash-or-nothing call pays a fixed cash amount, denoted "Q," if the stock price exceeds...
  3. Nicole Seaman

    YouTube T3-43 - Exotic options: chooser option

    The chooser (aka, as you like it) option has one strike price (K = $40.00 in my example) but two key dates (T1 and T2). On the first date (T1), the holder "chooses" it to be either a call or a put. At that point, it becomes a standard call/put with a remaining life of Δt = T2 - T1. In the second...
  4. Nicole Seaman

    YouTube T3-42 - Exotic options: Barrier options

    The barrier option adds a barrier value (for example, H = $95.00) and it the option can either "knock-out" (ie, get knocked-out if the barrier is breached) or "knock-in" (ie, come into existence if the barrier is breached. If the barrier is below the asset price, it is either a down-and-out or...
  5. Nicole Seaman

    YouTube T3-41 - Exotic options: compound option (e.g., call on a call)

    A compound option is an option to buy or sell a call or a put. A call on a call is the right to buy a call at T1 for K1 (and if exercised, the purchased call has a strike of K2 and expires at T2). A call on a put is the right to buy a put at T1 for K1 (and if exercised, the purchased put has a...
  6. F

    ASIAN OPTIONS

    Im currently a student pursuing a finance degree and have to complete a project on Exotic Options. I have chosen to do Asian Options, but have noticed there is a lack of resources and information on this topic. I have watched the videos on Asian Options, which I found to be very helpful, but I'm...
  7. Nicole Seaman

    P1.T3.732. Exchange option, volatility swap, and static option replication (Hull Ch. 26 continued)

    Identify and describe the characteristics and pay-off structure of the following exotic options: exchange. Describe and contrast volatility and variance swaps. Explain the basic premise of static option replication and how it can be applied to hedging exotic options. Questions: 732.1. Consider...
  8. Nicole Seaman

    P1.T3.731. Lookback and Asian (exotic) options (Hull Chapter 26 cont.)

    Learning objectives: Identify and describe the characteristics and pay-off structure of the following exotic options: gap, forward start, compound, chooser, barrier, binary, lookback, shout, Asian, exchange, rainbow, and basket Questions: 731.1. Consider the price of an asset that begins and...
  9. Nicole Seaman

    P1.T3.730. Chooser and barrier (exotic) options (Chapter 26 cont.)

    Learning objectives: Identify and describe the characteristics and pay-off structure of the following exotic options: gap, forward start, compound, chooser, barrier, binary, lookback, shout, Asian, exchange, rainbow, and basket Questions: 730.1 A non-dividend paying stock is currently...
  10. Nicole Seaman

    P1.T3.729. Gap, forward start and compound exotic options (Hull, Chapter 26)

    Learning objectives: Identify and describe the characteristics and pay-off structure of the following exotic options: gap, forward start, compound, chooser, barrier, binary, lookback, shout, Asian, exchange, rainbow, and basket Questions: 729.1 Consider an asset with a current price of...
  11. J

    Hull - Exotic Options

    Hi David, just in terms of efficient exam preparation and to the best of your experience so far: can we expect that exam questions on Hull's Exotic Options to be conceptual only (=no calculations)? Or to be more specific: as the calculations of the different types of options ans the valuations...
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