ABSTRACT

In an easy-to-understand, nontechnical yet mathematically elegant manner, An Introduction to Exotic Option Pricing shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving partial differential equations (PDEs). The author incorporates much of his own unpublished work, including ideas

part |2 pages

Part I Technical Background

chapter 1|32 pages

Financial Preliminaries

chapter 2|26 pages

Mathematical Preliminaries

chapter 3|18 pages

Gaussian Random Variables

part |2 pages

Part II Applications to Exotic Option Pricing

chapter 4|26 pages

Simple Exotic Options

chapter 5|18 pages

Dual Expiry Options

chapter 6|18 pages

Two-Asset Rainbow Options

chapter 7|48 pages

Barrier Options

chapter 8|26 pages

Lookback Options

chapter 9|18 pages

Asian Options

chapter 10|34 pages

Exotic Multi-Options