Range Forward
Contract to buy/sell an asset at a future date for a price within some range, . The portfolio is constructed by longing a call with strike and shorting a put with strike . If , this is a regular forward.
Forward Start Options
Option starts at a future date, . It is commonly used in employee stock option plans. Strike price is determined at start date in reference to stock price at that time.
Forwar start option value is
Binary Options
Cash-or-Nothing
Pays if at time , otherwise pays 0.
Value = , where
Asset-or-Nothing
Pays is at time , otherwise pays 0.
Value = , where
Displaced Strike Call
Pays if at time , otherwise pays 0.
A package:
- Long Asset-or-Nothing option
- Short Cash-or-Nothing option
Value =
Lookback Options
Lookback call pays at time , allowing buyer to buy stock at lowest observed price in some interval of time.
Lookback put pays at time , allowing buyer to sell stock at highest observed price in some interval of time.
Asian Options
Payoff is related to average stock price,
- Average Price options pay:
- call:
- put:
- Average Strike options pay:
- call:
- put:
Rainbow Options
Rainbow options involve multiple securities, e.g. an option that pays
at time .
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