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dc.contributor.authorEsquível, Manuel L.en
dc.contributor.authorVeiga, Carlosen
dc.contributor.authorWystup, Uween
dc.date.accessioned2010-09-09-
dc.date.accessioned2010-09-24T09:03:52Z-
dc.date.available2010-09-24T09:03:52Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCPQF Working Paper Series |x23en
dc.subject.ddc330en
dc.subject.keywordexotic optionsen
dc.subject.keywordmountain rangeen
dc.subject.keyworddiscrete lookbacken
dc.subject.keywordclosed formulaen
dc.subject.keywordpayoff languageen
dc.subject.keywordmulti-asset multi-currency modelen
dc.subject.stwOptionsgeschäften
dc.subject.stwOptionspreistheorieen
dc.subject.stwBlack-Scholes-Modellen
dc.subject.stwTheorieen
dc.titleUnifying exotic option closed formulas-
dc.typeWorking Paperen
dc.identifier.ppn634827219en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cpqfwp:23en

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