Investing in Exotic Options

  • Kevin Cheng
Chapter

Keywords

Stock Price Call Option Strike Price Underlying Asset Barrier Option 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

References

  1. Bank of International Settlements (2007) Semiannual OTC derivatives statistics Google Scholar
  2. Black F (1976) The pricing of commodity contracts. J Financ Econ 3:167-179CrossRefGoogle Scholar
  3. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Politic Econ 81: 637-659CrossRefGoogle Scholar
  4. Boyle P (1988) A lattice framework for option pricing with two state variables. J Financ Quant Anal 23(1):1-12CrossRefGoogle Scholar
  5. Cheng K (2003) Overview of barrier options. Global-Derivatives.com, Working Paper Google Scholar
  6. Conze A, Viswanathan R (1991) Path dependent options: the case of lookback options. J Finance 1893-1907Google Scholar
  7. Cox J, Rubinstein M (1985) Innovations in option pricing. Options Market, Prentice-HallGoogle Scholar
  8. Cox J, Ross S, Rubinstein M (1979) Option pricing: a simplified approach. J Financial Economics 7(3):229–263 CrossRefGoogle Scholar
  9. Curran M (1992) Beyond average intelligence. Risk 5:10, 60Google Scholar
  10. Duffy D (2006) Finite difference methods in financial engineering – a partial differential approach. Wiley, NYGoogle Scholar
  11. Goldman B, Sosin H, Gatto MA (1979) Path dependent options: buy at the low, sell at the high. J Finance 34:1111-1127CrossRefGoogle Scholar
  12. Hull J (2005) Options, futures and other derivatives. 6th edition, Prentice-HallGoogle Scholar
  13. Itô K (1951) On stochastic differential equations. Am Math Soc J 4:1-51Google Scholar
  14. Kat H, Heynen R (1994) Selective memory. Risk Magazine 7:11Google Scholar
  15. Kemna AGZ, Vorst ACF (1990) A pricing method for options based on average asset values. J Bank Finance 14:113-129CrossRefGoogle Scholar
  16. Kirk E, Aron J (1995) Correlation in the energy markets. Managing Energy Price Risk, Risk Books, pp. 71-78Google Scholar
  17. Levy E (1992) Pricing european average rate currency options. J Int Money Finance 14:474-491CrossRefGoogle Scholar
  18. Merton R (1973) Theory of rational option pricing. Bell J Econ Manage 4Google Scholar
  19. Reiner E, Rubinstein M (1991a) Breaking down the barriers. Risk 4(8):28-35Google Scholar
  20. Reiner E, Rubinstein M (1991b) Unscrambling the binary code. Risk 4 Google Scholar
  21. Rubinstein M (1991) Somewhere over the rainbow. Risk 4:63-66Google Scholar
  22. Rubinstein M (1994) Return to Oz. Risk 7:11Google Scholar
  23. Taleb NN (1996) Dynamic hedging. Wiley Finance Google Scholar
  24. Turnbull SM, Wakeman LM (1991) A quick algorithm for pricing european average options. J Financ Quant Finance 26:377-389CrossRefGoogle Scholar
  25. Večeř J (2001) New pricing of Asian options. Working PaperGoogle Scholar
  26. Wystup U (2002) Ensuring efficient hedging of barrier options. Working PaperGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Kevin Cheng
    • 1
  1. 1.Parallax Capital ManagementSingaporeSingapore

Personalised recommendations