Pricing and Hedging of Exotic Options
Usually we call an option whose payoff at the exercise or expiry time depends only on the current price of the underlying asset (such as European option, American option, compound option, etc., studied in Chap. 5) a vanilla option (here “vanilla” stands for “ordinary”). Any option that is not vanilla is called an exotic option. Exotic options are widely used in investment and risk management by banks, corporations, and institutional investors.
- Goldman, M.B., Sosin, H.B., Gatto, M.A.: Path dependent options: by at low, sell at the high. J. Financ. 34, 1111–1128 (1979)Google Scholar
- Rubinstein, M.: Exotic options. In: FORC Conference, Warwick (1992)Google Scholar
- Vecer, J.: Unified pricing of Asian options. Risk 15(6), 113–116 (2002)Google Scholar