Exotic Options

  • Marek Musiela
  • Marek Rutkowski
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 36)

In the preceding chapters, we have focused on the two standard classes of options – that is, call and put options of European and American style. The aim of this chapter is to study examples of more sophisticated option contracts. Although the payoffs of exotic options are given by similar expressions for both spot and futures options, the corresponding valuation formulas would not agree. We restrict here our attention to the case of exotic spot options.


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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • Marek Musiela
    • 1
  • Marek Rutkowski
    • 2
  1. 1.BNP ParibasLondonUK
  2. 2.Inst. MathematicsTechnical University WarszawaWarszawaPoland

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