Exotic Options

什么是奇异期权

比常规期权(标准的欧式或美式期权 )更复杂的衍生证券,这些产品通常是场外交易或嵌入结构债券。比如执行价格不是一个确定的数,而是一段时间内的平均资产价格的期权,或是在期权有效期内如果资产价格超过一定界限,期权就作废。

奇异期权的形式

一、障碍期权:是指期权的回报依赖于标的资产的价格在一段特定时间内是否达到了某个特定的水平(临界值),这个临界值就叫做”障碍”水平;

二、亚式期权:是当今金融衍生品市场上交易最为活跃的奇异期权之一.它最重要的特点在于:其到期回报依赖于标的资产在一段特定时间(整个期权有效期或其中部分时段)内的平均价格。它属于强式路径依赖期权,因为这一平均价格将成为定价公式中的一个独立状态变量;

三、打包期权:由常规的欧式期权,远期合约,现金和标的资产等构成的证券组合;

四、回溯期权:回溯期权的收益依附于标的资产在某个确定的时段(称为回溯时段)中达到的最大或最小价格(又称为回溯价),根据是资产价还是执行价采用这个回溯价格

奇异期权具的特征

到期收益不仅取决于基本指数,还取决于合同期间几个时间的值。在亚洲期权里,到期收益取决于平均值;在回望期权里,到期收益取决于最大值或最小值;在障碍期权里,在达到一定水平或达不到基本水平的条件下则合同终止。另外还有数字期权,范围期权,等等。

它可以依靠一个以上的指数。比如篮子期权,喜马拉雅期权及其他山脉范围期权,超越期权,等等。 有赎回权和卖出权。 涉及外汇市场。通过不同的方式,如汇率连、复合期权。

即便是场内交易的产品也可能有奇异期权的特征,比如可转债(它的价值取决于标的资产的价格和波动率,信用评级,利率水平和波动率,以及这些因素的相关性)。

 

 

 

In finance, an exotic option is a derivative which has features making it more complex than commonly traded products (vanilla options); see Exotic derivatives. These products are usually traded over-the-counter (OTC), or are embedded in structured notes.

The term “exotic option” was popularized by Mark Rubinstein’s 1990 working paper (published 1992, with Eric Reiner) “Exotic Options”, with the term based either onexotic wagers in Horse racing, or due to the use of international terms such as “Asian option”, suggesting the “exotic Orient”.[1]

Consider an equity index. A straight call or put, either American or European, would be considered non-exotic (vanilla). An exotic product could have one or more of the following features:

  • The payoff at maturity depends not just on the value of the underlying index at maturity, but at its value at several times during the contract’s life (it could be anAsian option depending on some average, a lookback option depending on the maximum or minimum, a barrier option which ceases to exist if a certain level is reached or not reached by the underlying, a digital option, peroni options, range options, spread options, etc.)
  • It could depend on more than one index (as in a basket options, Himalaya options, Peroni options, or other mountain range options, outperformance options, etc.)
  • There could be callability and putability rights.
  • It could involve foreign exchange rates in various ways, such as a quanto or composite option.

Even products traded actively in the market can have the characteristics of exotic options, such as convertible bonds, whose valuation can depend on the price andvolatility of the underlying equity, the credit rating, the level and volatility of interest rates, and the correlations between these factors.

These instruments are often created by financial engineers.

 

“Exotic” options with standard exercise styles

These options can be exercised either European style or American style; they differ from the plain vanilla option only in the calculation of their payoff value:

  • cross option (or composite option) is an option on some underlying asset in one currency with a strike denominated in another currency. For example a standardcall option on IBM, which is denominated in dollars pays $MAX(S−K,0) (where S is the stock price at maturity and K is the strike). A composite stock option might pay JPYMAX(S/Q−K,0), where Q is the prevailing FX rate. The pricing of such options naturally needs to take into account FX volatility and the correlation between theexchange rate of the two currencies involved and the underlying stock price.
  • quanto option is a cross option in which the exchange rate is fixed at the outset of the trade, typically at 1. The payoff of an IBM quanto call option would then be JPYmax(S−K,0).

屏幕快照 2012-10-08 上午06.33.57

  • An exchange option is the right to exchange one asset for another (such as a sugar future for a corporate bond).
  • basket option is an option on the weighted average of several underlyings
  • rainbow option is a basket option where the weightings depend on the final performances of the components. A common special case is an option on the worst-performing of several stocks.
  • Low Exercise Price Option (LEPO) is a European style call option with a low exercise price of $0.01.
  • Boston Option is an American option but with premium deferred until the option expiration date.

Black-Scholes期权定价模型

1997年10月10日,第二十九届诺贝尔经济学奖授予了两位美国学者,哈佛商学院教授罗伯特·默顿(RoBert Merton)和斯坦福大学教授迈伦·斯克尔斯(Myron Scholes)。他们创立和发展的布莱克——斯克尔斯期权定价模型(Black Scholes Option Pricing Model)为包括股票、债券、货币、商品在内的新兴衍生金融市场的各种以市价价格变动定价的衍生金融工具的合理定价奠定了基础。

斯克尔斯与他的同事、已故数学家费雪·布莱克(Fischer Black)在70年代初合作研究出了一个期权定价的复杂公式。与此同时,默顿也发现了同样的公式及许多其它有关期权的有用结论。结果,两篇论文几乎同时在不同刊物上发表。所以,布莱克—斯克尔斯定价模型亦可称为布莱克—斯克尔斯—默顿定价模型。默顿扩展了原模型的内涵,使之同样运用于许多其它形式的金融交易。瑞典皇家科学协会(The Royal Swedish Academyof Sciencese)赞誉他们在期权定价方面的研究成果是今后25年经济科学中的最杰出贡献。