fi lecture16 exotic options credit derivatives

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fi lecture16 exotic options credit derivatives

fi lecture16 exotic options credit derivatives

Interest-rate exotic options usually are
– Path-dependent
– Correlation-dependent
– Time-dependent
– Or a mix of these features
• Path-dependent options: option payoffs are a function of the
path that interest rates follow over the option life
• Correlation-dependent options: option payoffs are based on the
relationship between several interest rates
• Time-dependent options: the buyer has the right to choose an
option characteristic as a function of time
• Options can also be exotic because of the way they can be
exercised
– For example, a Bermudan option can be exercised on several specified dates until
maturity

 

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