[Salomon Bro] Exotic Equity Derivatives Manual

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Salomon Smith Barney

June 11, 1999

June 11, 1999

Table of Contents

Introduction . . . 4

Risk Factors . . . 5

Legend . . . 7

Equity Swap . . . 9

Stocks of Non-U.S. Issuers: Local Style Swap .. . .11

Stocks of Non-U.S. Issuers: Quanto Style Swap . . .13

Stocks of Non-U.S. Issuers: ADR Style Swap. . . 15

Swaption . . . 17

Stocks of Non-U.S. Issuers: Local Style Call Option . . . 19

Stocks of Non-U.S. Issuers: Local Style Put Option . . . 21

Stocks of Non-U.S. Issuers: ADR Style Call Option. . . .23

Stocks of Non-U.S. Issuers: ADR Style Put Option. . . 25

Stocks of Non-U.S. Issuers: Quanto Style Call Option . . . 27

Stocks of Non-U.S. Issuers: Quanto Style Put Option. . . . 29

Forward Start Call Option . . .31

Forward Start Put Option . . . 33

Asian Call Option . . .  35

Asian Put Option . . . 37

Lookback Call . . .39

Lookback Put . . . 41

Split-fee Call . . .43

Split-fee Put . . . 45

Knock in Call Option . . .47

Knock in Put Option . . . 49

Knock out Call Option . . .  51

Knock out Put Option . . . 53

Knock in Call Option: Outside Barrier . . .55

Knock in Put Option: Outside Barrier . . . 57

Knock out Call Option: Outside Barrier . . .59

Knock out Put Option: Outside Barrier . . .61

Binary Option . . . 63

Outperformance Call Option . . .65

Spread Option . . . 67

Better of Call Option . . . 69

Better of Put Option . . .  71

Chooser Option . . . 73

Accrual Option . . . 75

Range Swap . . . 77

Realized Volatility Swap . . .79

Capped Volatility Swap . . . 81

Implied Volatility Swap . . .83

Par Par Asset Swap . . .85

Discount Asset Swap . . .87

From Options to Swaps . ..89

Options by Strategy . . .90

Glossary . . .91

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