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ID:7273843
大小:340.57 KB
页数:18页
时间:2018-02-10
《an introduction to exotic and path-dependent derivatives》由会员上传分享,免费在线阅读,更多相关内容在工程资料-天天文库。
1、CHAPTER22anintroductiontoexoticandpath-dependentderivativesInthisChapter...•howtoclassifyoptionsaccordingtoimportantfeatures•howtothinkaboutderivativesinawaythatmakesiteasytocompareandcontrastdifferentcontracts•thenamesandcontractdetailsformanybasictypesofexoticoptions22.1INTRODUC
2、TIONThecontractswehaveseensofararethemostbasic,andmostimportant,derivativecontractsbuttheyonlyhintatthefeaturesthatcanbefoundinthemoreinterestingproducts.InthischapterIpreparethewayforthecomplexproductsIwillbediscussinginthenextfewchapters.Exoticoptionsareinterestingforseveralreas
3、ons.Theyarehardertoprice,sometimesbeingverymodel-dependent.Therisksinherentinthecontractsareusuallymoreobscureandcanleadtounexpectedlosses.Carefulhedgingbecomesimportant,whetherdeltahedgingorsomeformofstatichedgingtominimizecashflows.Actually,howtohedgeexoticsisallthatreallymatters
4、.Atradermayhaveagoodideaofareasonablepriceforaninstrument,eitherfromexperienceorbylookingatthepricesofsimilarinstruments.Buthemaynotbesosureabouttherisksinthecontractorhowtohedgethemawaysuccessfully.Itisanimpossibletasktoclassifyalloptions.Thebestthatwecanreasonablyachieveisarough
5、characterizationofthemostpopularofthefeaturestobefoundinderivativeproducts.Ilistsomeofthesefeaturesinthischapterandgiveseveralexamples.InthefollowingfewchaptersIgointomoredetailinthedescriptionoftheoptionsandtheirpricingandhedg-ing.ThefeaturesthatIdescribenowaretimedependence,cash
6、flows,strongpathdependenceandweakpathdependence,dimensionality,the‘order’ofanoption,andfinallyoptionswithembeddeddecisions.368PartTwoexoticcontractsandpathdependencyWearegoingtocontinuewiththeBlack–Scholesthemeforthemomentandshowhowtopriceandhedgeexoticsintheirframework.Theirassumpt
7、ionswillberelaxedinlaterchapters.OneapproachthatIwillnotreallybetakingistotrytodecomposeanexoticintoaportfolioofvanillas.Ifsuchadecompositionisexactthenthecontractwasnotexoticinthefirstplace.(Riddle:Whencanyoudecomposeanexoticintoaportfolioofvanillas?Answer:Whenitisn’texotic.)Youma
8、ygetanideaforanapproximatepricean
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