《金融期货与期权》（英文版） Chapter 19 Exotic Options

19.1 Exotic Options Chapter 19 Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 19.1 Exotic Options Chapter 19

19.2 Types of Exotics Package Binary options Nonstandard American. lookback options options Shout options Forward start options Asian options Compound options Options to exchange Chooser options one asset for another Barrier options Options involving several assets Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 19.2 Types of Exotics • Package • Nonstandard American options • Forward start options • Compound options • Chooser options • Barrier options • Binary options • Lookback options • Shout options • Asian options • Options to exchange one asset for another • Options involving several assets

19.3 Packages(page 435) Portfolios of standard options EXamples from Chapter 9: bull spreads bear spreads, straddles, etc Often structured to have zero cost One popular package is a range forward contract Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 19.3 Packages (page 435) • Portfolios of standard options • Examples from Chapter 9: bull spreads, bear spreads, straddles, etc • Often structured to have zero cost • One popular package is a range forward contract

194 Non-Standard American Options(page 436) Exercisable only on specific dates (Bermudans) Early exercise allowed during only part of life(e.g. there may be an initial lock out” period) Strike price changes over the life Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 19.4 Non-Standard American Options (page 436) • Exercisable only on specific dates (Bermudans) • Early exercise allowed during only part of life (e.g. there may be an initial “lock out” period) • Strike price changes over the life

19.5 Forward start options(page 437) Option starts at a future time, TI Most common in employee stock option plans Often structured so that strike price equals asset price at time T1 Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 19.5 Forward Start Options (page 437) • Option starts at a future time, T1 • Most common in employee stock option plans • Often structured so that strike price equals asset price at time T1

19.6 Compound option(page 437) Option to buy /sell an option Call on cal Put on call Call on put -Put on put Can be valued analytically Price is quite low compared with a regular option Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 19.6 Compound Option (page 437) • Option to buy / sell an option – Call on call – Put on call – Call on put – Put on put • Can be valued analytically • Price is quite low compared with a regular option

19.7 Chooser Option“ s You like it” (page 438) Option starts at time 0, matures at T2 At T1(0<TI< T2 buyer chooses whether it is a put or call A few lines of algebra shows that this is a package Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 19.7 Chooser Option “As You Like It” (page 438) • Option starts at time 0, matures at T2 • At T1 (0 < T1 < T2 ) buyer chooses whether it is a put or call • A few lines of algebra shows that this is a package

198 Chooser Option as a Package At time T, the value is max(c, p) From put-call parity p=cte r(T2-71) K Seq(t2-7) The value at timet is therefore C+e-q(2-7i) max(o, Ke-(r-g(2 Ti This is a call maturing at time T, plus a put maturing at time Ty Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 19.8 Chooser Option as a Package 1 2 1 ( ) ( )( ) 1 ( ) 1 ( ) 1 max( 0, ) max( , ) 2 1 2 1 2 1 2 1 T T c e K e S T p c e K S e T c p q T T r q T T r T T q T T a put maturing at time This i s a call maturing at time plus The value at time i s therefore From put - call parity A t time the value i s + − = + − − − − − − − − − −

19.9 Barrier Options(page 439) Option comes into existence only if stock price hits barrier before option maturity n’ options Option dies if stock price hits barrier before option maturity Out options Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 19.9 Barrier Options (page 439) • Option comes into existence only if stock price hits barrier before option maturity – ‘In’ options • Option dies if stock price hits barrier before option maturity – ‘Out’ options

19.10 Barrier Options(continued) Stock price must hit barrier from below Up options Stock price must hit barrier from above Down options Option may be a put or a call Eight possible combinations Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 19.10 Barrier Options (continued) • Stock price must hit barrier from below – ‘Up’ options • Stock price must hit barrier from above – ‘Down’ options • Option may be a put or a call • Eight possible combinations