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Exotic Options:A Guide to Second Generation Options

Author

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  • Peter G Zhang

    (Chief Financial Engineering Advisor and Senior Director of Research & Development Center, Shanghai Futures Exchange, China)

Abstract

This is the first systematic and extensive book on exotic options. The book covers essentially all popular exotic options currently trading in the Over-the-Counter (OTC) market, from digitals, quantos, spread options, lookback options, Asian options, vanilla barrier options, to various types of exotic barrier options and other options. Each type of exotic options is largely written in a separate chapter, beginning with the basic concepts of the products and then moving on to how to price them in closed-form solutions. Many pricing formulae and analyses which have not previously appeared in the literature are included and illustrated with detailed examples. It will be of great interest to traders, marketers, analysts, risk managers, professors, graduate students, and anyone who is interested in what is going on in the rapidly changing financial market.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Peter G Zhang, 1998. "Exotic Options:A Guide to Second Generation Options," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 3800.
    • Handle: RePEc:wsi:wsbook:3800
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    Citations

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    Cited by:

    1. Begoñna Fernández Fernández & Patricia Saavedra Barrera, 2003. "Valuation And Optimal Exercise Time For The Banxico Put Option," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 257-275.
    2. Darae Jeong & Minhyun Yoo & Junseok Kim, 2018. "Finite Difference Method for the Black–Scholes Equation Without Boundary Conditions," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 961-972, April.
    3. Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Research Paper Series 102, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Guha, R. & Sbuelz, A., 2003. "Structural RFV : Recovery Form and Defaultable Debt Analysis," Other publications TiSEM 841ad1ef-22f2-4ea8-b19b-5, Tilburg University, School of Economics and Management.
    5. Peter Buchen & Otto Konstandatos, 2005. "A New Method Of Pricing Lookback Options," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 245-259, April.
    6. Alex Garivaltis, 2019. "Cover's Rebalancing Option With Discrete Hindsight Optimization," Papers 1903.00829, arXiv.org, revised Oct 2022.
    7. Guha, R. & Sbuelz, A., 2003. "Structural RFV : Recovery Form and Defaultable Debt Analysis," Discussion Paper 2003-37, Tilburg University, Center for Economic Research.
    8. Chaeyoung Lee & Soobin Kwak & Youngjin Hwang & Junseok Kim, 2023. "Accurate and Efficient Finite Difference Method for the Black–Scholes Model with No Far-Field Boundary Conditions," Computational Economics, Springer;Society for Computational Economics, vol. 61(3), pages 1207-1224, March.
    9. Adam Maung & Ken Foster, 2002. "Capital Investment under Alternative Marketing Scenarios in the Hog Industry: A Real Option Approach," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 50(3), pages 223-235, November.
    10. Hiroaki Hata & Nien-Lin Liu & Kazuhiro Yasuda, 2022. "Expressions of forward starting option price in Hull–White stochastic volatility model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 101-135, June.
    11. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    12. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    13. Pradipkumar Ramanlal, 2000. "Software Review," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 393-394, September.
    14. Gao, Rong & Wu, Wei & Lang, Chao & Lang, Liying, 2020. "Geometric Asian barrier option pricing formulas of uncertain stock model," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
    15. Thomas Gerstner & Bastian Harrach & Daniel Roth, 2018. "Monte Carlo pathwise sensitivities for barrier options," Papers 1804.03975, arXiv.org, revised Apr 2019.

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