Regular and Exotic Options

  • Brian A. Eales


In several of the preceding chapters reference has been made to the use of options in creating special types of payoff profile. Indeed Chapter 1 provided an intuitive illustration of how a one-period collar could be established in the context of a short-term interest rate example, whilst in Chapter 2 long and short positions in puts and calls were presented as a means of hedging an index-tracking equity portfolio. This chapter builds on those examples and examines how other special types of option specification might be used to create similar payoffs in a less expensive manner.


Call Option Fund Manager Strike Price Dividend Yield Barrier Option 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Further Reading

  1. Bouaziz, L., E. Briys and M. Crouhy, ‘The Pricing of Forward-Starting Asian Options’, Journal of Banking and Finance, 18 October 1994, pp. 823–39.CrossRefGoogle Scholar
  2. Boyle, P. and S. H. Lau, ‘Bumping up against the Barrier with the Binomial Method’, Journal of Derivatives, Summer 1994, pp. 6–14.Google Scholar
  3. Clewlow, L. and A. Caverhill, ‘On the Simulation of Contingent Claims’, FORC Preprint:95/56 Financial Options Research Centre, University of Warwick.Google Scholar
  4. Clewlow, L., J. Llanos and C. Strickland, ‘Pricing Options in a Black—Scholes World’, FORC Preprint:94/54 Financial Options Research Centre, University of Warwick.Google Scholar
  5. Clewlow, L. and C. Strickland, ‘Implementing Financial Engineering’, FORC Preprint:95/56 Financial Options Research Centre, University of Warwick.Google Scholar
  6. Hull, John C., Options, Futures, and other Derivatives, 3rd edn, Prentice-Hall International (1997).Google Scholar
  7. Hull, John C. and A. White, ‘Numerical Procedures for Implementing Term Structure Models I: Single Factor Models’, Journal of Derivatives, 2, 1 (1994), pp. 7–16.CrossRefGoogle Scholar
  8. Lyden, S., ‘Reference Check: A Bibliography of Exotic Options Models’, The Journal of Derivatives, Vol. 4, Fall 1996, pp. 79–91.CrossRefGoogle Scholar
  9. Lyuu, Yu-Dauh, ‘Very Fast Algorithms for Barrier Option Pricing and the Ballot Problem’, The Journal of Derivatives, Vol. 4, Spring 1998, pp. 68–79.Google Scholar
  10. Ritchken, P., ‘On Pricing Barrier Options’, The Journal of Derivatives, Winter 1995, pp. 19–28.Google Scholar
  11. Rubinstein, M., ‘Pay Now Choose Later’, Risk, Vol. 4, No. 2, February 1991, p. 13.Google Scholar
  12. Rubinstein, M., ‘Options for the Undecided’, Risk, Vol. 4, No. 4, April 1991, p. 43.Google Scholar
  13. Rubinstein, M. and E. Reiner, ‘Breaking Down the Barriers’, Risk, Vol. 4, No. 8, September 1991, pp. 28–35.Google Scholar
  14. Thomas, B., ‘Something to Shout About’, Risk, Vol. 6, No. 5, May 1993, pp. 56–8.Google Scholar
  15. Tomkins, R., Options Explained, Macmillan (1996).Google Scholar
  16. Yu, G. George, ‘Financial Instruments to Lock In Payoffs’, The Journal of Derivatives, Spring 1994, pp. 77–85.Google Scholar

Copyright information

© Brian Eales 2000

Authors and Affiliations

  • Brian A. Eales

There are no affiliations available

Personalised recommendations