| Preface |
|
vii | (6) |
| Acknowledgements |
|
xiii | |
| Part I: Introduction to Exotic Options and Option Pricing Methodology |
|
1 | (52) |
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Chapter 1. From Vanilla Options to Exotic Options |
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|
3 | (18) |
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Chapter 2. Option Pricing Methodology |
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|
21 | (32) |
| Part II: Standard Options |
|
53 | (56) |
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Chapter 3. Vanilla Options |
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|
55 | (34) |
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Chapter 4. American Options |
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|
89 | (20) |
| Part III: Path-Dependent Options |
|
109 | (248) |
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|
|
111 | (22) |
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Chapter 6. Approximating Arithmetic Asian Options with Corresponding Geometric Asian Options |
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|
133 | (28) |
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Chapter 7. Flexible Arithmetic Asian Options |
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|
161 | (24) |
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Chapter 8. Forward-Start Options |
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|
185 | (8) |
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Chapter 9. One-Clique Options |
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|
193 | (8) |
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Chapter 10. Vanilla Barrier Options |
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|
201 | (56) |
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Chapter 11. Exotic Barrier Options |
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|
257 | (76) |
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Chapter 12. Lookback Options |
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|
333 | (24) |
| Part IV: Correlation/Multiassets Options |
|
357 | (216) |
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Chapter 13. Exchange Options |
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|
363 | (12) |
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Chapter 14. Options Paying the Best/Worst and Cash |
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|
375 | (16) |
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Chapter 15. Standard Digital Options and Correlation Digital Options |
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|
391 | (30) |
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Chapter 16. Quotient Options |
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|
421 | (10) |
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Chapter 17. Product Options and Foreign Domestic Options |
|
|
431 | (10) |
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Chapter 18. Foreign Equity Options |
|
|
441 | (10) |
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Chapter 19. Equity-Linked Foreign Exchange Options |
|
|
451 | (8) |
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Chapter 20. Quanto Options |
|
|
459 | (10) |
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Chapter 21. Rainbow Options |
|
|
469 | (10) |
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Chapter 22. Spread Options |
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|
479 | (22) |
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Chapter 23. Spread Over the Rainbows |
|
|
501 | (8) |
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Chapter 24. Dual-Strike Options |
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|
509 | (6) |
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Chapter 25. Out-Performance Options |
|
|
515 | (14) |
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Chapter 26. Alternative Options |
|
|
529 | (10) |
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Chapter 27. Basket Options |
|
|
539 | (10) |
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Chapter 28. Pricing Correlation Options with Uncertain Correlation Coefficients |
|
|
549 | (24) |
| Part V: Other Options |
|
573 | (64) |
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Chapter 29. Package or Hybrid Options |
|
|
575 | (10) |
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Chapter 30. Nonlinear Payoff Options |
|
|
585 | (12) |
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Chapter 31. Compound Options |
|
|
597 | (8) |
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Chapter 32. Chooser Options |
|
|
605 | (10) |
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Chapter 33. Contingent Premium Options |
|
|
615 | (12) |
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Chapter 34. Other Exotic Options |
|
|
627 | (10) |
| Part VI: Hedging Exotic Options and Further Development of Exotic Options |
|
637 | (14) |
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Chapter 35. Hedging Exotic Options |
|
|
639 | (6) |
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Chapter 36. Further Development |
|
|
645 | (6) |
| Appendix I. Payoff Functions for Various Options |
|
651 | (6) |
| Appendix II. Table of Cumulative Function Values of the Standard Normal Distribution |
|
657 | (2) |
| References |
|
659 | (14) |
| Subject Index |
|
673 | |
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