chapter_18Exotic_Options-期权期货及其衍生市场.pdf

Exotic Options Chapter 18 2013-7-29 1 Types of Exotics  Package  Binary options  Nonstandard  Lookback options American options  Shout options  Forward start options  Asian options  Compound options  Options to exchange  Chooser options one asset for another  Barrier options  Options involving several assets 2013-7-29 2 Analytic Results Available For:  Asian options  Forward start (approximate options distribution of the  Compound average stock price by options a lognormal  As you like it distribution) options  Options to exchange  Barrier options one asset for another  Binary options  Lookback options 3 2013-7-29 Basic Valuation Procedures Trees / finite difference methods  Monte Carlo simulation 2013-7-29 4 Path Dependence: The Traditional View  Backwards induction works well for American options. It cannot be used for path-dependent options  Monte Carlo simulation works well for path-dependent options; it cannot be used for American options 2013-7-29 5 Extension of Backwards Induction  Backwards induction can be used for some path- dependent opt