I'm an undergraduate student in finance with a pretty solid knowledge of financial mathematics and I'm currently picking a topic for my research paper this year. I have already decided I will pick something about FX exotic options but I am not sure what exactly to pick as I'm new to the topic and a bit overwhelmed with the amount of information I consumed in the past couple of days regarding exotic options. I am trying to come up with a short list of potential topics and decided to ask for help here.

Can anyone suggest an interesting question(s) to explore regarding FX exotic options?

Thank you in advance!


1 Answer 1


This question will probably get closed soon, but I'll take a stab at answering anyway.

I think, for an undergraduate, an interesting topic would be the FX-credit hybrids, that is, FX options (or even linear products like FX forwards and xccy swaps) with kick-in or kick-out on a credit event.

For example - I want (the right) to exchange USD into EUR at some strike exchange rate, but this contract extinguishes if any of (Italy, France) defaults on sovereign debt.

You can consider Bitcon to be one of the currencies.

To price such a trade, you take a view on how much the currency will devalue after a default.

I think it's more fun that exotic payoffs.

  • 1
    $\begingroup$ I like this idea. Would give a student an interesting perspective on different markets and capital implications. $\endgroup$
    – Attack68
    Oct 6, 2020 at 10:32

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