PRODUCT INFORMATIONThere are four applications in this section.The first one prices Barrier options, the second one prices Look-back options, the third one prices American-style rainbow options and other exotics, and the fourth one prices European-style rainbow options and other exotics. The descriptions in this section are brief. Click on the respective application link button to get to the application site, then click on the valuation procedure link for more details.
Down-and-in barrier call option with strike price greater than or equal to barrier level. This option comes into existence when the underlying price first hits the barrier from above. Its strike price is greater than or equal to the barrier level.
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Down-and-in barrier call option with strike price less than or equal to barrier level. This option comes into existence when the underlying price first hits the barrier from above, but unlike the preceding one, the strike price is less than or equal to the barrier level.
Down-and-out barrier call option with strike price greater than or equal to barrier level. This option ceases to exist when the underlying price first hits the barrier from above.Its strike price is greater than or equal to the barrier level.
Down-and-out barrier call option with strike price less than or equal to barrier level. This option ceases to exist when the underlying price first hits the barrier from above, but unlike the preceding one, the strike price is less than or equal to the barrier level.
Up-and-in barrier call option with strike price greater than or equal to barrier level. This option comes into existence when the underlying price first hits the barrier from below. Its strike price is greater than or equal to the barrier level.
Up-and-in barrier call option with strike price less than or equal to barrier level. This option comes into existence when the underlying price first hits the barrier from below, but unlike the preceding one, the strike price is less than or equal to the barrier level.
Up-and-out barrier call option with strike price greater than or equal to barrier level. This option ceaces to exist when the underlying price first hits the barrier from below. Its strike price is greater than or equal to the barrier level, and is therefore worthless in all states. It is included here for completeness.
Up-and-out barrier call option with strike price less than or equal to barrier level. This option ceaces to exist when the underlying price first hits the barrier from below. Its strike price is less than or equal to the barrier level.
Down-and-in barrier put option with strike price greater than or equal to barrier level. This option comes into existence when the underlying price first hits the barrier from above. Its strike price is greater than or equal to the barrier level.
Down-and-in barrier put option with strike price less than or equal to barrier level. This option comes into existence when the underlying price first hits the barrier from above, but unlike the preceding one, the strike price is less than or equal to the barrier level.
Down-and-out barrier put option with strike price greater than or equal to barrier level. This option ceases to exist when the underlying price first hits the barrier from above.Its strike price is greater than or equal to the barrier level.
Down-and-out barrier put option with strike price less than or equal to barrier level. This option ceases to exist when the underlying price first hits the barrier from above. Its strike price is less than or equal to the barrier level, and is therefore worthless in all states. It is included here for completeness.
Up-and-in barrier put option with strike price greater than or equal to barrier level. This option comes into existence when the underlying price first hits the barrier from below. Its strike price is greater than or equal to the barrier level.
Up-and-in barrier put option with strike price less than or equal to barrier level. This option comes into existence when the underlying price first hits the barrier from below, but unlike the preceding one, the strike price is less than or equal to the barrier level.
Up-and-out barrier put option with strike price greater than or equal to barrier level. This option ceaces to exist when the underlying price first hits the barrier from below. Its strike price is greater than or equal to the barrier level.
Up-and-out barrier put option with strike price less than or equal to barrier level. This option ceaces to exist when the underlying price first hits the barrier from below. Its strike price is less than or equal to the barrier level.
European fixed strike look back call option. This option provides a payoff at maturity that is equal to the positive difference between the maximum underlying price achieved that lies within the option contract boundary and the fixed strike or zero otherwise.
European floating strike look back call option. This option provides a payoff at maturity that is equal to the positive difference between the underlying price and the minimum underlying price achieved that lies within the option contract boundary or zero otherwise.
European fixed strike look back put option. This option provides a payoff at maturity that is equal to the positive difference between the fixed strike price and the minimum underlying price achieved that lies within the option contract boundary or zero otherwise.
European floating strike look back put option. This option provides a payoff at maturity that is equal to the positive difference between the maximum underlying price achieved that lies within the option contract boundary and the underlying price at maturity or zero otherwise.
European high-low option. This option provides a payoff at maturity that is equal to the difference between the maximum and minimum underlying prices achieved that lie within the option contract boundary.
American-style rainbow options and other exotics. The application prices the following options: American-style rainbow option, American-style cash-or-nothing call option, American-style cash-or-nothing put option, American-style asset-or-nothing call option, American-style asset-or-nothing put option, European-style average-price call option, European-style average-price put option, American-style average-price call option, and American-style average-price put option. See application site for more details.
European-style rainbow options and other exotics. The application prices the following options: European-style rainbow option, European-style cash-or-nothing call option, European-style cash-or-nothing put option, European-style asset-or-nothing call option, European-style asset-or-nothing put option, European-style exchange option, and Risk-neutral-world correlated share prices generation. See application site for more details.
