Lecture 8: Exotic Derivatives

11/8/98


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Table of Contents

Lecture 8: Exotic Derivatives

What Makes Options Exotic?

Asian Options

Barrier Options

100/90 Knockout vs European Vega Comparison

100/90 Knockout vs European Gamma Comparison

100/120 Live-out vs European Gamma Comparison

100/120 Live-out vs European Vega Comparison

Ladders

Lookback Options

Binary Options

Range Options

90/110 Range Option Gamma

90/110 Range Option Vega

Cliquets

Basket Options

Spread Options

Author: Jim Gatheral

Email: jim@exchange.ml.com

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