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*Exotic OptionsExotic options

In: Capital Market Finance

Author

Listed:
  • Patrice Poncet

    (ESSEC Business School)

  • Roland Portait

    (ESSEC Business School)

Abstract

There is no established classification for the numerous exotic options traded in the market. We choose to distinguish path-independent options whose payoffs only depend on the final value of the underlying asset, and path-dependent options whose payoffs depend also on its trajectory. Among the first type, we describe forward start options, binary or digital and double digital options, multi-underlying options, compound options, and quanto and combo options. Among the second we analyze barriers (and double barriers and Parisians), lookbacks, options on averages or Asians, and choosers. We concentrate on mathematical models of valuation which lead to closed formulas, even if they are complicated.

Suggested Citation

  • Patrice Poncet & Roland Portait, 2022. "*Exotic OptionsExotic options," Springer Texts in Business and Economics, in: Capital Market Finance, chapter 14, pages 549-605, Springer.
    • Handle: RePEc:spr:sptchp:978-3-030-84600-8_14
    DOI: 10.1007/978-3-030-84600-8_14
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