|
In finance, an exotic option is a derivative which has features making it more complex than commonly traded products (vanilla options). These products are usually traded over-the-counter (OTC), or are embedded in structured notes. The field of finance refers to the concepts of time, money and risk and how they are interelated. ...
Derivatives traders at the Chicago Board of Trade. ...
In finance, a vanilla option is a type of derivative security. ...
Consider an equity index. A straight call or put, either American or European would be considered non-exotic (vanilla). An exotic product could have one or more of the following features: This article is about financial options. ...
A put option (sometimes simply called a put) is a financial contract between two parties, the buyer and the writer of the option. ...
In finance, the style or family of an option is a general term denoting the class into which the option falls, usually defined by the dates on which the option may be exercised. ...
- The payoff at maturity depends not just on the value of the underlying index at maturity, but at its value at several times during the contract's life (it could be an Asian option depending on some average, a lookback option depending on the maximum or minimum, a barrier option which ceases to exist if a certain level is reached or not reached by the underlying, a digital option, range options, etc.)
- It could depend on more than one index (as in a basket options, Himalaya options or other mountain range options, outperformance options, etc.)
- There could be callability and putability rights.
- It could involve foreign exchange rates in various ways, such as a quanto or composite option.
Even products traded actively in the market can have the characteristics of exotic options, such as convertible bonds, whose valuation can depend on the price and volatility of the underlying equity, the credit rating, the level and volatility of interest rates, and the correlations between these factors. The style or family of a financial option is a general term denoting the class into which the option falls, usually defined by the manner in which the option may be exercised. ...
The style or family of a financial option is a general term denoting the class into which the option falls, usually defined by the manner in which the option may be exercised. ...
A barrier option is a type of financial option where the option to exercise depends on the underlying crossing or reaching a given barrier level. ...
A binary option is a type of option where the payoff is either some fixed amount of some asset or nothing at all. ...
A quanto is a form of financial derivative in which the underlying is denominated in one currency, but the instrument itself is settled in another currency at some fixed rate. ...
A convertible bond, or convertible debenture, is a type of bond that can be converted into shares of stock in the issuing company, usually at some pre-announced ratio. ...
Volatility most frequently refers to the standard deviation of the change in value of a financial instrument with a specific time horizon. ...
For other uses, see Stock (disambiguation). ...
A credit rating assesses the credit worthiness of an individual, corporation, or even a country. ...
Volatility most frequently refers to the standard deviation of the change in value of a financial instrument with a specific time horizon. ...
An interest rate is the price a borrower pays for the use of money he does not own, and the return a lender receives for deferring his consumption, by lending to the borrower. ...
Several sets of (x, y) points, with the correlation coefficient of x and y for each set. ...
Exotic options can pose challenging problems in valuation and hedging. Mathematical finance is the branch of applied mathematics concerned with the financial markets. ...
It has been suggested that this article or section be merged into Hedge (finance). ...
Examples A barrier option is a type of financial option where the option to exercise depends on the underlying crossing or reaching a given barrier level. ...
Constant proportion portfolio insurance (CPPI) is a capital guarantee derivative security that embeds a dynamic trading strategy in order to provide participation to the performance of a certain underlying. ...
The style or family of a financial option is a general term denoting the class into which the option falls, usually defined by the manner in which the option may be exercised. ...
A variance swap is a financial derivative whose payoff is the realised volatility squared of the underlier based on a prespecified set of sampling points. ...
A binary option is a type of option where the payoff is either some fixed amount of some asset or nothing at all. ...
Further reading - Haug, Espen Gaarder (2007). The Complete Guide to Option Pricing Formulas. New York: McGraw-Hill. ISBN 0-07-147734-9.
- Banks, Erik; Paul Siegel (2007). The Options Applications Handbook: Hedging and Speculating Techniques for Professional Investors. New York: Wiley. ISBN 0-07-145315-6.
- Kyprianou, Andreas E.; Wim Schoutens, Paul Wilmott (2005). Exotic Option Pricing and Advanced Levy Models. Hoboken, NJ: John Wiley & Sons. ISBN 0-470-01684-1.
- Rebonato, Riccardo (1998). Interest-rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-rate Options. New York: McGraw-Hill. ISBN 0-471-97958-9.
The McGraw-Hill Companies, Inc. ...
John Wiley & Sons, Inc. ...
The McGraw-Hill Companies, Inc. ...
External links | Derivatives market | | | Derivative (finance) | | | Options | Terms: Strike price · Expiration · Volatility · Open interest · Pin risk
The derivatives markets are the financial markets for derivatives. ...
Derivatives traders at the Chicago Board of Trade. ...
This article is about options traded in financial markets. ...
The strike price, or exercise price, is a key variable in a derivatives contract between two parties. ...
For an option contract, expiration is the date on which the contract expires. ...
Volatility most frequently refers to the standard deviation of the change in value of a financial instrument with a specific time horizon. ...
Open interest is the number of open contracts of derivatives like futures and options that have a time limit after which they expire. ...
Pin risk occurs when the underlier of an option contract settles close to the options strike value at expiration. ...
Vanilla options: Option styles · Call · Put · Warrants · Fixed income · Employee stock option · FX
In finance, a vanilla option is a type of derivative security. ...
In finance, the style or family of an option is a general term denoting the class into which the option falls, usually defined by the dates on which the option may be exercised. ...
This article is about financial options. ...
A put option (sometimes simply called a put) is a financial contract between two parties, the buyer and the writer of the option. ...
For other uses of the term Warrant, see Warrant (disambiguation) In finance, a warrant is a security that entitles the holder to buy stock of the company that issued it at a specified price, which is much higher than the stock price at time of issue. ...
This article does not cite any references or sources. ...
An employee stock option is a call option on the common stock of a company, issued as a form of non-cash compensation. ...
In finance, a foreign exchange option (commonly shortened to just FX option or currency option) is a derivative financial instrument where the owner has the right but not the obligation to exchange money denominated in one currency into another currency at a pre-agreed exchange rate on a specified date. ...
Exotic options: Asian · Lookback · Barrier · Binary · Swaption · Mountain range
The style or family of a financial option is a general term denoting the class into which the option falls, usually defined by the manner in which the option may be exercised. ...
The style or family of a financial option is a general term denoting the class into which the option falls, usually defined by the manner in which the option may be exercised. ...
A barrier option is a type of financial option where the option to exercise depends on the underlying crossing or reaching a given barrier level. ...
A binary option is a type of option where the payoff is either some fixed amount of some asset or nothing at all. ...
To meet Wikipedias quality standards, this article or section may require cleanup. ...
Mountain ranges are exotic options originally marketed by Société Générale in 1998. ...
Options strategies: Covered call · Naked put · Collar · Straddle · Strangle · Butterfly · Iron condor
An option strategy is implemented by combining one or more option positions and possibly an underlying stock position. ...
Payoffs and profits from buying stock and writing a call. ...
A naked put is a put option where the option writer does not have a short position in the stock. ...
A collar is an investment strategy that uses options to limit the possible range of positive or negative returns on an investment in an underlying asset to a specific range. ...
In finance, a straddle is an investment strategy involving the purchase or sale of particular derivatives. ...
In finance, a strangle is an investment strategy involving the purchase or sale of particular option derivatives that allows the holder to profit based on how much the price of the underlying security moves, with relatively minimal exposure to the direction of price movement. ...
In options trading, a butterfly is a combination trade resulting in the following net position: Long 1 call at (X - a) strike Short 2 calls at X strike Long 1 call at (X + a) strike all with the same expiration date. ...
Options spreads: Bull spread · Bear spread · Calendar spread · Vertical spread · Debit spread · Credit spread
“Spread option†redirects here. ...
In options trading, a bull spread is a spread position that is designed to profit from a rise in the price of the underlying security. ...
In options trading, a bear spread is a spread position that is designed to profit from a drop in the price of the underlying security. ...
There are very few or no other articles that link to this one. ...
The introduction to this article provides insufficient context for those unfamiliar with the subject matter. ...
In finance, a debit spread, AKA net debit spread, results when an investor simultaneously buys an option with a higher premium and sells an option with a lower premium. ...
In finance, a credit spread, or net credit spread, involves a purchase of one option and a sale of another option in the same class and expiration. ...
Valuation of options: Moneyness · Option time value · Put-call parity · Black-Scholes · Black · Binomial · Simulation Option contracts are complex to value. ...
In the money redirects here; for the poker term, see In the money (poker). ...
Option Value In finance, the value of an option consists of two components, its intrinsic value and its time value. ...
In financial mathematics, put-call parity defines a relationship between the price of a European call option and a European put option - both with the identical strike price and expiry. ...
The Black-Scholes model, often simply called Black-Scholes, is a model of the varying price over time of financial instruments, and in particular stocks. ...
The Black model (sometimes known as the Black-76 model) is a variant the Black-Scholes option pricing model. ...
In finance, the binomial options pricing model provides a generalisable numerical method for the valuation of options. ...
A Monte Carlo model, in its most general description, includes any method of estimating a value by the random generation of numbers and statistical principles. ...
| | | Swaps | Interest rate swap · Total return swap · Equity swap · Credit default swap · Forex swap · Currency swap · Constant maturity swap · Basis swap · Volatility swap · Variance swap For the Thoroughbred horse racing champion, see: Swaps (horse). ...
An interest rate swap is a derivative in which one party exchanges a stream of interest payments for another partys stream of cash flows. ...
Total return swap, or TRS (especially in Europe), or total rate of return swap, or TRORS, is a contract in which one party receives interest payments on a reference asset, plus any capital gains and losses over the payment period, while the other receives a specified fixed or floating cash...
An equity swap, a branch of derivative security, is a swap in which at least one party pays the return on a stock or stock index. ...
A credit default swap (CDS) is a bilateral contract under which two counterparties agree to isolate and separately trade the credit risk of at least one third-party reference entity. ...
Forex swap is an over the counter short term interest rate derivative instrument. ...
A currency swap is a foreign exchange agreement between two parties to exchange a given amount of one currency for another and, after a specified period of time, to give back the original amounts swapped. ...
Constant Maturity Swaps are used in the financial markets to have a reference yield curve. ...
A basis swap is an interest rate swap which involves the exchange of two floating rate financial instruments denominated in the same currency. ...
In finance, a volatility swap is a forward contract on the future realised volatility of a given underlying asset. ...
A variance swap is a financial derivative whose payoff is the realised volatility squared of the underlier based on a prespecified set of sampling points. ...
| | | Other derivatives | Credit derivative · Equity derivative · Interest rate derivative · Inflation derivatives // A credit derivative is a financial instrument or derivative (finance) whose price and value derives from the creditworthiness of the obligations of a third party, which is isolated and traded. ...
The term equity derivative describes a class of financial instruments whose value is at least partly derived from one or more underlying equity securities. ...
To meet Wikipedias quality standards, this article may require cleanup. ...
Inflation Derivatives or inflation-indexed derivatives refer to OTC and exchange traded derivatives that are used to transfer inflation risk from one counterparty to another. ...
| | |
Feeds |
Contact