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Exotic options
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ISBN: 981022222X 9810234821 9814532924 9786611869717 1322064334 1281869716 9812384960 9810222238 9789812384966 9781281869715 9789814532921 9789810222222 9789810222239 Year: 1997 Publisher: Singapore New Jersey World Scientific

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Abstract

This book provides the first systematic classification and treatment to essentially all exotic options currently trading at the Over-the-Counter (OTC) market. It contains exact closed-form pricing formulae and approximated closed-form pricing formulae for all popular exotic options. It includes arguments for and pricing formulae of exotic options with more flexibility than most popular exotic options such as flexible Asian options with flexible weights to various observations in the average, Asian barrier options, correlation digital options, etc. Most of the analyses in this book are within t

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