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Exotic options: conceptualization and evolution in the literature from a systematic review

Author

Listed:
  • Gabriela Pesce

    (Departamento de Ciencias de la Administración, Universidad Nacional del Sur (DCA, UNS))

  • Florencia Verónica Pedroni

    (National University of the South)

  • Etelvina Chávez

    (Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET); Departamento de Ciencias de la Administración, Universidad Nacional del Sur (DCA, UNS))

  • María de la Paz Moral

    (Departamento de Ciencias de la Administración, Universidad Nacional del Sur (DCA, UNS))

  • María Andrea Rivero

    (Departamento de Ciencias de la Administración, Universidad Nacional del Sur (DCA, UNS))

Abstract

The article develops a conceptual analysis of the literature on exotic options based on two specific objectives: first, to describe the main concepts, characteristics and types of exotic options; second, to analyze the evolution of publications on the subject. Methodologically, we carry out a documentary research of classical authors and a systematic review of the literature under protocol in the bibliographic databases Scopus and Web of Science. The 96 publications obtained are submitted to bibliometric and content analysis. We identify articles published mainly in journals (72%) between 2006 and 2015 (64%), mostly on valuation of exotic options. Options depending on the price path of the underlying asset are the most applied, especially barrier, lookback and Asian. As a theoretical contribution, the analysis of the evolution of literature represents a substantial foundation for future studies, as it enables the most relevant publications on exotic options to be individualized, detects gaps in the field of knowledge, and recognizes growing topics. On a practical level, a better understanding of the subject could lead to a greater use of exotic instruments.

Suggested Citation

  • Gabriela Pesce & Florencia Verónica Pedroni & Etelvina Chávez & María de la Paz Moral & María Andrea Rivero, 2021. "Exotic options: conceptualization and evolution in the literature from a systematic review," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 95, pages 231-275, July-Dece.
    • Handle: RePEc:lde:journl:y:2021:i:95:p:231-275
    DOI: 10.17533/udea.le.n95a342627
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    References listed on IDEAS

    as
    1. Wim Schoutens & Stijn Symens, 2003. "The Pricing Of Exotic Options By Monte–Carlo Simulations In A Lévy Market With Stochastic Volatility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(08), pages 839-864.
    2. Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," European Journal of Operational Research, Elsevier, vol. 251(1), pages 124-134.
    3. Manuel Portugal Ferreira & José Eduardo Storopoli & Fernando Ribeiro Serra, 2014. "Two Decades of Research on Strategic Alliances: Analysis of Citations, Co-citations and Themes Researched," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 18(spe), pages 109-133.
    4. Ewald, Christian-Oliver & Yor, Marc, 2015. "On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 22-36.
    5. Sheldon Lin, X., 1998. "Double barrier hitting time distributions with applications to exotic options," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 45-58, October.
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    More about this item

    Keywords

    derivative; option trading; derivatives market; exotic derivatives; path dependent option;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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