Exotic options : a guide to second generation options / Peter G. Zhang.

Format:

Book

Author/Creator:

Zhang, Peter G.

Language:

English

Subjects (All):

Exotic options (Finance).

Physical Description:

1 online resource (698 p.)

Edition:

2nd ed.

Place of Publication:

Singapore ; River Edge, N.J. : World Scientific, 1997.

Language Note:

English

Summary:

This book provides the first systematic classification and treatment to essentially all exotic options currently trading at the Over-the-Counter (OTC) market. It contains exact closed-form pricing formulae and approximated closed-form pricing formulae for all popular exotic options. It includes arguments for and pricing formulae of exotic options with more flexibility than most popular exotic options such as flexible Asian options with flexible weights to various observations in the average, Asian barrier options, correlation digital options, etc. Most of the analyses in this book are within t

Contents:

Preface; Acknowledgements; Chapter 1. From Vanilla Options to Exotic Options; Chapter 2. Option Pricing Methodology; Chapter 3. Vanilla Options; Chapter 4. American Options; Chapter 5. Asian Options; Chapter 6. Approximating Arithmetic Asian Options with Corresponding Geometric Asian Options; Chapter 7. Flexible Arithmetic Asian Options; Chapter 8. Forward-Start Options; Chapter 9. One-Clique Options; Chapter 10. Vanilla Barrier Options; Chapter 11. Exotic Barrier Options; Chapter 12. Lookback Options; Part IV: Correlation/Multiassets Options; Chapter 13. Exchange Options

Chapter 14. Options Paying the Best/Worst and CashChapter 15. Standard Digital Options and Correlation Digital Options; Chapter 16. Quotient Options; Chapter 17. Product Options and Foreign Domestic Options; Chapter 18. Foreign Equity Options; Chapter 19. Equity-Linked Foreign Exchange Options; Chapter 20. Quanto Options; Chapter 21. Rainbow Options; Chapter 22. Spread Options; Chapter 23. Spread Over the Rainbows; Chapter 24. Dual-Strike Options; Chapter 25. Out-Performance Options; Chapter 26. Alternative Options; Chapter 27. Basket Options

Chapter 28. Pricing Correlation Options with Uncertain Correlation CoefficientsPart. V: Other Options; Chapter 29. Package or Hybrid Options; Chapter 30. Nonlinear Payoff Options; Chapter 31. Compound Options; Chapter 32. Chooser Options; Chapter 33. Contingent Premium Options; Chapter 34. Other Exotic Options; Chapter 35. Hedging Exotic Options; Chapter 36. Further Development; Appendix I. Payoff Functions for Various Options; Appendix II. Table of Cumulative Function Values of the Standard Normal Distribution; References; Subject Index

Notes:

Description based upon print version of record.

Includes bibliographical references (p. 673-687) and index.

ISBN:

9786611869717

9789810222239

9810222238

9781322064338

1322064334

9789814532921

9814532924

9781281869715

1281869716

9789812384966

9812384960

OCLC:

808021341