Exotic options: valuation and risk analysis

Foo, Desmond J. S. (1999). Exotic options: valuation and risk analysis Honours Thesis, Department of Commerce, The University of Queensland.

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Author Foo, Desmond J. S.
Thesis Title Exotic options: valuation and risk analysis
School, Centre or Institute Department of Commerce
Institution The University of Queensland
Publication date 1999
Thesis type Honours Thesis
Total pages 84
Language eng
Subjects 15 Commerce, Management, Tourism and Services
Formatted abstract
      There are three main reasons behind the invention of exotic options. It provides a hedging technique for circumstances where standard option is unable to hedge. Also the exotic options may end up cheaper than standard options. Exotic options also provide a more flexible means for speculation. This is due to the fact that they have a variety of payoff structures. On top of that, exotic options could be structured in a clever way that provide benefits like tax advantages to the investor.

      The thesis looks at two particular exotic option products that are available in Australia. These products are structured noted with embedded options and a product that replicates the covered call strategy. Structured noted with embedded option provides a small amount of interest pay-off while the embedded option determines the additional interest as a function of the stock price. The other product is essentially a structured product that replicated a covered call strategy to the investor by selling a call option to them.

      A valuation framework and a comprehensive risk analysis are conducted on these products. The aim of this thesis is to give a better understanding of exotic options, particularly in Australia.

Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
Citation counts: Google Scholar Search Google Scholar
Created: Tue, 19 Oct 2010, 17:41:35 EST by Muhammad Noman Ali on behalf of Social Sciences and Humanities Library Service