The book covers essentially all popular exotic options currently trading in the. A single option linked to two or more underlying assets. For many people, options trading is a strange and mysterious investment practice. Rainbow can take various other forms but the combining idea is to have a payoff that is. The dual between stormxf3 and rainbow dash are in slow motion. A key feature is the application of the gaussian shift theorem and its multivariate extension to price exotic options without needing a single integration. Shop for books at and browse categories like young adult books, childrens books, mystery books, adult coloring books and cook books. More generally, rainbow options are multiasset options, also referred to as correlation options. Advantage by israel nelken, 9780070472365, available at book depository with free delivery worldwide. Rainbow option is a derivative exposed to two or more sources of uncertainty, as opposed to a. Managing options risk for exotic options an exotic derivative is one for which no liquid market exists. The second part focuses on applications to exotic option pricing, including dualexpiry, multiasset rainbow, barrier, lookback, and asian options. We offer over 40,000 homeschooling and educational products at discount prices, while providing friendly customer service and homeschool consultants to answer your curriculum questions.
An exotic option may also include nonstandard underlying instrument, developed for a particular client or for a particular market. Like the more general exotic derivatives they may have several triggers relating to determination of payoff. Fortunately, there are numerous educational books on the subject that demystify options and help traders profit. Librarything connects you to people who read what you do. Help me save the rainbow twink rainbow brite book by. Rainbow option is a derivative exposed to two or more sources of uncertainty, as opposed to a simple option that is exposed to one source of uncertainty, such as the price of underlying asset the name of rainbow comes from rubinstein 1991, who emphasises that this option was based on a combination of various assets like a rainbow is a combination of various colors. We will use barrier options on usdjpy fx to create a hedge for lookback options on usdjpy.
Weve compiled snippets from a wide variety of books. Rainbow options quanto options basket options timedependent options. Fortunately, there are numerous educational books on the subject that demystify options. Perhaps the most popular valuation model for options is the blackscholes pde, proposed by robert c. Pricing rainbow options keywords exotic option, blackscholes model, exchange option, rainbow option, equivalent martingale measure, change of numeraire, trivariate normal. Title rmetrics pricing and evaluating exotic option. Abstract a previous paper west 2005 tackled the issue of calculating accurate uni, bi and trivariate normal probabilities. Everyday low prices and free delivery on eligible orders.
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