[투자론] 신종옵션(Exotic Options)
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- 2011.02.07 / 2019.12.24
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추천 연관자료
- 목차
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1.Introduction
2.Bermuda Options
3.Forward Start Options
4.Compound Options
5.Chooser Options
6.Barrier Options
7.Binary Options
8.Lookback Options
9.Shout Options
10.Asian Options
- 본문내용
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A shout option is one in which the long party can “shout” at the short party one time during the life of the option, which sets a sort of lower payoff level.
At maturity, the holder receives either the intrinsic value at the time of the shout, or the payoff to a usual European call/put (depending upon the type of option that it is.)
Assume that you “shout” at time tau, then your payout at maturity would be (for a call):
Essentially a “shout” allows you lock in a payout without forcing you to give up your ability to earn a higher payout if the price increases.
The term Asian Option means an option where the payoff to the option is a function of the average price of the underlying for some portion of the life of the option.
There are actually many variants of Asian options available.
Average price call: max(0,Save-K)
Average price put: max(0,K-Save)
Average strike call: max(0,ST-Save)
Average strike put: max(0,Save-ST)
The method for calculating the average can vary.
Usually it is the arithmetic average, but can be the geometric average.
If arithmetic average, usually no closed form solution exists, although Hull presents some approximations. Typically will rely upon Monte Carlo procedures to determine the value.
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