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。
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”.
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:
- A 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.
- A 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).
- An exchange option is the right to exchange one asset for another (such as a sugar future for a corporate bond).
- A basket option is an option on the weighted average of several underlyings
- A 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.
- A Low Exercise Price Option (LEPO) is a European style call option with a low exercise price of $0.01.
- A Boston Option is an American option but with premium deferred until the option expiration date.