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Chapter 22 Exotic Options: II

Chapter 22 Exotic Options: II

Chapter 22 Exotic Options: II. Outline. Simple options that are used to build more complex ones Simple all-or-nothing options All-or-nothing barrier options Multivariate options Quantos (equity-linked forwards) Currency-linked options Rainbow options

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541 views • 26 slides
CS757 Computational Finance Project No. CS757.2003Win03-25

CS757 Computational Finance Project No. CS757.2003Win03-25

CS757 Computational Finance Project No. CS757.2003Win03-25. Pricing Barrier Options using Binomial Trees Gong Chen Department of Computer Science University of Manitoba 1 Instructor: Dr.Ruppa K. Thulasiram. 1 gongchen@cs.umanitoba.ca. Outline. Introduction and Motivation Background

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Barrier options

Barrier options

Barrier options. Wojciech Zielinski Jung, Joonyoung. Table of contents. Barrier options Examples of different barrier options Example of call up out option K IKO case. Barrier Options. Nearly like European vanilla option Path-dependent

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1.76k views • 14 slides
Financial Engineering

Financial Engineering

Financial Engineering. Zvi Wiener mswiener@mscc.huji.ac.il 02-588-3049. Barrier Options. Following Paul Wilmott, Introduces Quantitative Finance Chapter 13. Types of Barrier Options. Out option pays off if a level is not reached, otherwise it is knocked out .

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Figure 17.1. Payoff diagram for a forward contract, a plain vanilla call option, and a cash or nothng digital option

Figure 17.1. Payoff diagram for a forward contract, a plain vanilla call option, and a cash or nothng digital option

Figure 17.1. Payoff diagram for a forward contract, a plain vanilla call option, and a cash or nothng digital option. Figure 17.2. Price of cash or nothing digital call as a function of time to maturity and price of the dollar. Figure 17.3. Graph of down-and-out barrier call.

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1.48k views • 10 slides

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