期权期货及其他衍生品8版25章.ppt

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1、Chapter25ExoticOptionsOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20121TypesofExoticsPackageNonstandardAmericanoptionsGapoptionsForwardstartoptionsCliquetoptionsCompoundoptionsChooseroptionsBarrieroptionsBinaryoptionsLookbackoptionsShoutoptionsAsianoptionsOptio

2、nstoexchangeoneassetforanotherOptionsinvolvingseveralassetsVolatilityandVarianceswapsOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20122Packages(page574)PortfoliosofstandardoptionsExamplesfromChapter11:bullspreads,bearspreads,straddles,etcOftenstructuredtohavezero

3、costOnepopularpackageisarangeforwardcontract(seeChapter16)Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20123Non-StandardAmericanOptions(page575)Exercisableonlyonspecificdates(Bermudans)Earlyexerciseallowedduringonlypartoflife(initial“lockout”period)Strikepricecha

4、ngesoverthelife(warrants,convertibles)Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20124GapOptionsGapcallpaysST−K1whenST>K2GapputpaysoffK1−STwhenST

5、wardStartOptions(page576)Optionstartsatafuturetime,T1ImplicitinemployeestockoptionplansOftenstructuredsothatstrikepriceequalsassetpriceattimeT1ValueisthentimesthevalueofsimilaroptionstartingtodayOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20126CliquetOptionAseri

6、esofcallorputoptionswithrulesdetermininghowthestrikepriceisdeterminedForexample,acliquetmightconsistof20at-the-moneythree-monthoptions.ThetotallifewouldthenbefiveyearsWhenoneoptionexpiresanewsimilarat-the-moneyiscomesintoexistenceOptions,Futures,andOtherDerivatives,8thEdition,Copyrigh

7、t©JohnC.Hull20127CompoundOption(page577)OptiontobuyorsellanoptionCalloncallPutoncallCallonputPutonputCanbevaluedanalyticallyPriceisquitelowcomparedwitharegularoptionOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20128ChooserOption“AsYouLikeIt”(page578)Optionstartsa

8、ttime