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dc.contributor.authorEsquível, Manuel L.en_US
dc.contributor.authorVeiga, Carlosen_US
dc.contributor.authorWystup, Uween_US
dc.date.accessioned2010-09-09en_US
dc.date.accessioned2010-09-24T09:03:52Z-
dc.date.available2010-09-24T09:03:52Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/40174-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherFrankfurt School of Finance & Management Frankfurt, M.en_US
dc.relation.ispartofseriesCPQF Working Paper Series 23en_US
dc.subject.ddc330en_US
dc.subject.keywordexotic optionsen_US
dc.subject.keywordmountain rangeen_US
dc.subject.keyworddiscrete lookbacken_US
dc.subject.keywordclosed formulaen_US
dc.subject.keywordpayoff languageen_US
dc.subject.keywordmulti-asset multi-currency modelen_US
dc.subject.stwOptionsgeschäften_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwBlack-Scholes-Modellen_US
dc.subject.stwTheorieen_US
dc.titleUnifying exotic option closed formulasen_US
dc.typeWorking Paperen_US
dc.identifier.ppn634827219en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cpqfwp:23-
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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