There is a wide variety of exotic option contract. This category specifies contract types and their payoff functions.
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| The fixed strike Asian option has a a payoff that is based on the average of the underlying over some period of time t1...tn
The average reduces the impact of big movement in the underlying just before expiration compared to vanilla options. full text » |
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| The floating strike Asian option has a payoff based on the difference between the underlying at expiration , and the average of the underlying prior to expiration .
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| The asymmetric power option has a payoff which is depended of the underling price at expiration to a certain power. full text » |
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| Barrier options are vanilla call and vanilla put options that are either activated or canceled based on the underlying asset hitting a certain barrier.
==types of barrier options==
There are three features that specify the type of barrier option:
* ''Down / Up''. There are two sort of barrier options based on the barrier being either above (up) or below (down) the current price of the underlying.
* ''In / Out''. The option can either be activated (in) or canceled (out) as a consequence of hitting the barrier.
* ''Call / Put''. The two type of vanilla options
These three features result in a total of 8 different types of barrier options. E.g. a down-an-in-call is a call which is activated when the underlying moves down and hit the barrier. full text » |
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| Basket options are vanilla options with a basket of assets as the underlying contract. full text » |
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| The binary asset-or-nothing option has the asset as payout , depending on whether the asset end above or below the strike (K) at the expiration date.
===some properties===
* Binary asset-or-nothing call = vanilla call + binary cash-or-nothing call (all with the same strike).
* Binary asset-or-nothing put = - vanilla put + binary cash-or-nothing put (all with the same strike).
* S = Binary asset-or-nothing call + Binary asset-or-nothing put.
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| The binary cal option has a fixed cash payout (M) that depends on whether the underlying (S) end above or below the strike (K) at the expiration date. full text » |
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| The binary gap option has a payout that depends on two strikes. One strike (K1) determines if there is goin to be a payout, while the other strike (K2) determines the payout amount.
===Some properties===
* When K2=0 the binary gap call option reduces to a binary asset-or-nothing call, while the put reduces to -1*a binary asset-or-nothing put.
* When K2=K1 the binary gap option reduces to a vanilla option.
* The binary gap call is equivalent to a vanilla call with strike K1 + a binary cash-or-nothing call with K2. The binary gap put is equivalent to a vanilla put with strike K1 - a binary cash-or-nothing put with K2.
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| A complex chooser option gives the owner the choice as some fixed future date (before expiration) to get either a vanilla call or vanilla put option. The call and put option have different strikes and maturities.
The complex chooser option is a generalization to the simple chooser option which allows you to choose between a call and put with both the same strike and expiration date.
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| A simple chooser option gives the owner the right to choose at some point in the future (t, before expiration T) whether the option is to be a vanilla call or put option. The choice is made based on which of the two vanilla options is the most expensive at the time of choice. full text » |
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| Double barrier options are vanilla call and put options that are either activated or canceled based on the underlying reaching either a lower or upper barrier.
===types of double barrier options===
There are two features that specify the type of barrier option:
* ''In / Out''. The option can either be activated (in) or canceled (out) as a consequence of hitting one of the barriers.
* ''Call / Put''. The two type of vanilla options
These two features result in a total of 4 different types of double barrier options. E.g. a in-call is a call which is activated when the underlying moves down or up and hits a barrier. full text » |
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| The double binary cash-or-nothing option has a fixed cash payout (M) that depends on whether the underlying assets (S1,S2) end above or below the strikes (K1,K2) at the expiration date.
There are four types of double binary cash options. full text » |
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| The dual strike options has a payoff which is the maximum of two options on two different underlying assets. full text » |
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| The exchange option gives the owner the right to exchange one asset for another. The payoff is the positive difference between the target and source asset. The exchange option is a spread call option with 0 strike. full text » |
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| The holder extendible options allows the holder to extend the options lifetime by paying a fixed cash amount. The extended option can sometimes have an adjusted strike. full text » |
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| The writer extendible option are extended when the option is out-of-the-money at the initial expiration date. The extended option can sometimes have an adjusted strike. full text » |
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| The forward start option has a strike that will be set to the value of the underlying at a predefined future point in time. full text » |
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| The general power option has a payoff which is a polynomial function of the underling price at expiration. full text » |
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| The fixed strike lookback call has a payout which is the (positive) difference between the highest price of the underlying and a fixed strike.
Similary, the fixed strike lookback put has a payout of the positive difference between the strike and the minimum of the underlying. full text » |
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| The floating strike lookback call gives the owner the right to buy the underlying at the lowest price of the underlying that was observed during the options lifetime
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The floating strike lookback put gives the owner the right to sell the underlying at the highest price. full text » |
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| A compound option is an option on an option. E.g. you can have the right to buy a call for 3.50 a some point of time in the future. full text » |
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| The parabola option has a payoff which is a parabola of the underlying asset at expiration. The parabola option is a special case of the general power option. full text » |
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| A power option gives the owner the right to buy/sell the underlying to a given power for a fixed value -the strike-. full text » |
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| A product option gives the owner the right to buy/sell the product of two underlying assets for a fixed value -the strike-. full text » |
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| A quanto option is a vanilla option on a foreign underlying, but with a payout in domestic currency.
The payout of the option is converted to the domestic currency at expiration, at a predefined exchange rate -E0-. Even though the exchange rate is set in advance, the quantity of money to be converted will not be known till expiration.
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| A quotient option gives the owner the right to buy/sell thequotient of two underlying assets for a fixed value -the strike-. full text » |
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| A rainbow option gives the owner the right to buy/sell the maximum/minimum of two underlying assets for a fixed value -the strike-. full text » |
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| Therange option has a payout which is the difference between the highest and lowest price of the underlying till expiration.
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| A spread option has a payoff that depends on the difference (spread) between two underlying. It is a vanilla option with a spread as an underlying asset. The owner of a spread call option has the right to buy the spread for a fixed amount (the strike) at expiration. full text » |
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| The symmetric power option has a payoff which is depended of the difference between underling price at expiration and the strike to a certain power. full text » |
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| A two asset correlation option is a vanilla option that is activated if another asset (S2) is above or below a strike (K2) at expiration (T).
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| Vanilla option payoff at expiration. The vanilla call option gives the owner the right to buy an asset (S) at expiration (T) for a fixed amount (K). The vanilla put option gives the owner the right to sell the asset (S) at expiration (T) for a fixed price (K). full text » |
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