Flashcards
Exotic Options
Cards in this deck (11)
- 1Range Forward Contract (Zero Cost) aka Zero-cost Collar* Long call + short put
* Short call + long put
* K(call) > K(put), strikes chosen s.t call and put values are equal - 2Zero Cost (Any) Derivatives* Just defer payment to maturity
- 3Accumulators - Product Description1) Investor committed to purchase shares at a pre-determined strike (10-20% below S_0), on specified observation dates
2) Knock-out: if stock beyond barrier (2-5% above S_0) [discrete or continuous]
3) Step Up: if price falls below strike, investor committed to purchase more shares
4) Tenor: 3-12 months - 4Accumulators (Other Features)* Settlement: immediate (less common) or delayed
- 5Accumulators - price chart
- 6Accumulators - Payoff (Immediate Settlement)Observation days t_1,..t_n with t_i<=N
- 7Accumulators - Decomposition (Immediate Settlement)
- 8PDF of PL for Accumulator* Long left tail
* Assymetry of buyer /seller losses
- 9Collars - Strategy1) Long underlying
2) Long OTM Put @ strike X
3) Short OTM Call @ strike X+a
So Collar = Underlying-Risk Reversal - 10Risk Reversal - Strategy1) Short OTM put @ strike X
2) Long OTM Call @ strike X+a - 11Risk Reversal - Vol Skew, Price Distribution
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- Finance Flashcards on Exotic Options, created by Mitul Patel on 02/08/2017.
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- Mitul Patel
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