EXOTIC OPTIONS A Guide to Second Generation Options (2nd Edition)
by Peter G Zhang (Chief Financial Engineering Advisor and Senior Director of Research & Development Center, Shanghai Futures Exchange, China)
About the Author
Peter G Zhang obtained his BS and MS in Computer Science in mainland China, before being sent to study in the United States in 1987. He has served as manager, senior associate or vice-president in various financial institutions, including MMS International (Standard & Poor's Group), the Union Bank of Switzerland (New York Branch) and the Chemical Bank (head office) in New York City. After working for the Chase Manhattan Bank (Tokyo Branch) as a vice-president for about three years, he broadened his expertise to financial law at Harvard Law School. He joined the Shanghai Futures Exchange as Chief Financial Engineering Advisor in 2003 to build and promote the financial derivatives industry in China. An experienced financial expert with many articles and books published both in English and in Chinese, Dr Zhang has been travelling around the world to give seminars and business presentations, particularly to various government organizations, institutions and companies throughout China. His representative works include Barings Bankruptcy and Financial Derivatives.
This is the first systematic and extensive book on exotic options. The book covers essentially all popular exotic options currently trading in the Over-the-Counter (OTC) market, from digitals, quantos, spread options, lookback options, Asian options, vanilla barrier options, to various types of exotic barrier options and other options. Each type of exotic options is largely written in a separate chapter, beginning with the basic concepts of the products and then moving on to how to price them in closed-form solutions. Many pricing formulae and analyses which have not previously appeared in the literature are included and illustrated with detailed examples. It will be of great interest to traders, marketers, analysts, risk managers, professors, graduate students, and anyone who is interested in what is going on in the rapidly changing financial market.
Contents:
From Vanilla Options to Exotic Options
Option Pricing
Methodology
Vanilla Options
American Options
Asian Options
Approximating Arithmetic Asian Options with Corresponding Geometric Asian Options
Flexible Arithmetic Asian Options
Forward-Start Options
One-Clique Options
Vanilla Barrier Options
Exotic Barrier Options
Lookback Options
Exchange Options
Options Paying the Best/Worst and Cash
Standard Digital Options and Correlation Digital Options
Quotient Options
Product Options and Foreign Domestic Options
Foreign Equity Options
Equity-Linked Foreign Exchange Options
Quanto Options
Rainbow Options
Spread Options
Spread Over the Rainbows
Dual-Strike Options
Out-Performance Options
Alternative Options
Basket Options
Pricing Correlation Options with Uncertain Correlation Coefficients
Package or Hybrid Options
Nonlinear Payoff Options
Compound Options
Chooser Options
Contingent Premium Options
Other Exotic Options
Hedging Exotic Options
Further Development
Payoff Functions for Various Options
Table of Cumulative Function Values of the Standard Normal Distribution
Readership: Professionals in the financial industry, interested
general readers, and academics.
"He has put together a comprehensive book on exotic option pricing, showing this to be possible without the measure theory twaddle. It takes the reader through the entire spectrum of products in an organized way and provides most necessary formulas as well as the intuition of their derivation ... There is no other place where one can find all the pricing tools gathered together, which allows one to price an option without sneezing from the dust of stacks of journal articles ... The author does a good job when he limits his role to providing a complete pricing encyclopedia ... This is the most complete conventional option pricing book currently available."
Nassim Taleb, Derivatives Strategy
724pp
Pub. date: Jun 1998
eISBN 981-238-496-0
Price: US$107
EXOTIC OPTIONS