Arbeitspapier

Unifying exotic option closed formulas

This paper aims to unify exotic option closed formulas by generalizing a large class of existing formulas and by setting a framework that allows for further generalizations. The formula presented covers options from the plain vanilla to most, if not all, mountain range exotic options and is developed in a multi-asset, multi-currency Black-Scholes model with time dependent parameters. The general formula not only covers existing cases but also enables the combination of diverse features from different types of exotic options. It also creates implicitly a language to describe payoffs that can be used in industrial applications to decouple the functions of payoff definition from pricing functions. Examples of several exotic options are presented, benchmarking the closed formulas' performance against Monte Carlo simulations. Results show a consistent over performance of the closed formula reducing calculation time by double digit factors.

Sprache
Englisch

Erschienen in
Series: CPQF Working Paper Series ; No. 23

Klassifikation
Wirtschaft
Thema
exotic options
mountain range
discrete lookback
closed formula
payoff language
multi-asset multi-currency model
Optionsgeschäft
Optionspreistheorie
Black-Scholes-Modell
Theorie

Ereignis
Geistige Schöpfung
(wer)
Esquível, Manuel L.
Veiga, Carlos
Wystup, Uwe
Ereignis
Veröffentlichung
(wer)
Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
(wo)
Frankfurt a. M.
(wann)
2010

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Esquível, Manuel L.
  • Veiga, Carlos
  • Wystup, Uwe
  • Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)

Entstanden

  • 2010

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