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Exotic Options: A Guide to Second Generation Options
World Scientific Pub Co Inc | ISBN: 9810235216 | 1998-08-01 | PDF | 724 pages | 22676 kb
Peter G Zhang obtained his BS and MS in Computer Science in mainland China, before being sent to study in the United States in 1987. He has served as manager, senior associate or vice-president in various financial institutions, including MMS International (Standard & Poor's Group), the Union Bank of Switzerland (New York Branch) and the Chemical Bank (head office) in New York City. After working for the Chase Manhattan Bank (Tokyo Branch) as a vice-president for about three years, he broadened his expertise to financial law at Harvard Law School. He joined the Shanghai Futures Exchange as Chief Financial Engineering Advisor in 2003 to build and promote the financial derivatives industry in China. An experienced financial expert with many articles and books published both in English and in Chinese, Dr Zhang has been travelling around the world to give seminars and business presentations, particularly to various government organizations, institutions and companies throughout China. His representative works include Barings Bankruptcy and Financial Derivatives.
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.
Contents:
- From Vanilla Options to Exotic Options
- Option Pricing Methodology
- Vanilla Options
- American Options
- Asian Options
- Approximating Arithmetic Asian Options with Corresponding Geometric Asian Options
- Flexible Arithmetic Asian Options
- Forward-Start Options
- One-Clique Options
- Vanilla Barrier Options
- Exotic Barrier Options
- Lookback Options
- Exchange Options
- Options Paying the Best/Worst and Cash
- Standard Digital Options and Correlation Digital Options
- Quotient Options
- Product Options and Foreign Domestic Options
- Foreign Equity Options
- Equity-Linked Foreign Exchange Options
- Quanto Options
- Rainbow Options
- Spread Options
- Spread Over the Rainbows
- Dual-Strike Options
- Out-Performance Options
- Alternative Options
- Basket Options
- Pricing Correlation Options with Uncertain Correlation Coefficients
- Package or Hybrid Options
- Nonlinear Payoff Options
- Compound Options
- Chooser Options
- Contingent Premium Options
- Other Exotic Options
- Hedging Exotic Options
- Further Development
- Payoff Functions for Various Options
- Table of Cumulative Function Values of the Standard Normal Distribution
Readership: Professionals in the financial industry, interested general readers, and academics.
"He has put together a comprehensive book on exotic option pricing, showing this to be possible without the measure theory twaddle. It takes the reader through the entire spectrum of products in an organized way and provides most necessary formulas as well as the intuition of their derivation ... There is no other place where one can find all the pricing tools gathered together, which allows one to price an option without sneezing from the dust of stacks of journal articles ... The author does a good job when he limits his role to providing a complete pricing encyclopedia ... This is the most complete conventional option pricing book currently available."
| Nassim Taleb, Derivatives Strategy |
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