투자론 변형옵션(Exotic Options)

투자론 변형옵션(Exotic Options)

[투자론] 변형옵션(Exotic Options).hwp

목차 1. What is an Exotic Options ? 2. Features of Exotic Options 3. Difference Between exotic options & standard options 4. Types of Exotic Options 4.1. Path dependent Options 4.1.1. Barrier Option 4.1.2. Asian option 4.1.3. Lookback option 4.2. Volatility-dependent Options 4.2.1. Compound option 4.2.2. Chooser option ("as you like it" option) 4.3. Multi-factor options 4.3.1. Quanto options 4.3.2. Basket option 4.3.3. rainbow option 4.4. Binary(Digital) Options 5. Investing 6. Reference 본문 1. What is an Exotic Options ? option contracts that are variations on simple puts and calls or are different products with optionality built into them. Exotic options are available in various asset classes on which options are available, but are mostly found in the foreign exchange market. A common example is the barrier option, which itself comes in various forms such as knock-in options and knock-out options (and reversed versions of both) that can be either single-barrier options or doublebarrier options . What those terms refer to and what barrier options have in common are one or two trigger prices that, if touched, will cause an option with predetermined characteristics to be created (knock-in option) or will cause an existing option to cease to exist (knock-out option). A double-barrier option has barriers on either side of the Exercise price (i.e., one trigger price is higher than the strike price and the other is lower), whereas a single-barrier option has one trigger price that may be higher or lower than the strike price. Barrier options, because they risk either not being knocked in, or being knocked out, are cheaper than ordinary puts and calls, and a double knockout option is cheaper than a single knockout option. 참고문헌 ● http://www.economics-papers.com ● http://www.investopedia.com ● http://www.bankingglossary.co.uk ● www.jsp-tags.com ● Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options - Ricardo Rebonato ● FINANCIAL SIMULATION - 김기호, 김영일 키워드 변형옵션, 투자론, Exotic, Options, 옵션