# Questions tagged [exotics]

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### Autocallable option Delta

There have been numerous exotic trading desk blow ups lately, related to various reasons. However, in particular, one bank had some issues where they were pricing autocallable notes with Local ...
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### What's the typical markup on quoted exotics, and what drives this premium?

I'm curious about the typical markup on quoted exotic options as well as what drives this premium. You call up an options desk for a quote, and they'll give you a spread that reflects their market on ...
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### Swaption pricing and strategies

I am looking for resources (books, papers, websites, etc.) that deal with Vanilla and Exotic swaptions from a more advanced and quantitative perspective. I am interested in both the pricing side (e.g. ...
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### Pricing an exotic with barrier at discrete times

How would you price the following option on underlying $S$ without dividends? Time to maturity of option $\tau = 12$ months Option has a strike $K > 0$ and constant barrier $B > 0$. $t_0$ is ...
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### Boundary condition of lookback option

This is a well know conclusion of the boundary condition of lookback option. Here \dfrac{d S_t}{S_t} = (\mu - D)dt + \sigma ...
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### Risk management for Digital Option at large Bank

Say, an investment bank sell Digital Call Option to its client at strike 100. But trader at the bank want to book the deal with a call spread at 99/100 (price&hedge Digital Option like price&...
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### Pricing Exotic options

I am stuck at a assignment problem where I have to compute the price of an exotic option. I am given the values the prices of option $C(X;k) = E[max(0,X_T - k)]$ for different strike prices $k$ and ...
1 vote
274 views

I would appreciate help with a valuation of a fixed income derivative, with an embedded exit option. Summary: Goal is to provide valuation of a fixed schedule of quarterly cash flows with an option ...
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### Approximation of an Autocall (trigger 100%) with ATM options prices

thank you very much for trying to answer this question, and I hope it will be helpful to everyone in my situation. I am preparing for an interview, and I've come across these three questions on the ...
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### Replicating power (electricity) options in US markets

For options on power (e.g. https://www.ice.com/products/6590519/Option-on-ERCOT-North-345KV-Real-Time-Peak-Fixed-Price-Future ), how would you replicate this? Vanilla options in equities can be ...
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### FX portfolio MV estimation for undelying Spot move

In the context of a project involving FX derivatives, I am faced with the challenge of estimating the change in the market value of my portfolio in response to a change in the underlying spot. The ...
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### Cross corridor var swap

How should I think about replicating a cross corridor variance swap like breaking into strips of calls and puts and an over hedge that I can rebalance at some frequency? Given the earnings move, I can ...
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### About Hedging of One-touch Options

The pricing of American Digital Call (one-touch Calls) has the following formulas, taken from P13, the textbook \begin{aligned} C_{\mathrm{d}}^{\mathrm{Am}}(S, t ; E) & =\left(\frac{S}{E}\right)^{\...
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### Monte Carlo option pricing

Can someone please confirm if I understood this correctly. The Monte Carlo method for pricing path-dependent options essentially gives you a multitude of price processes, which you use to determine ...
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### Hedge for some exotic options

It is well known that a european call option with strike price $C(K)=(S_T-k)^+$ coul be hedge using the Black-Scholes formula $BS(t,T,r,K,S_0)$. I would like to find a hedge (or sub-hedge) of the the ...
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### Option Payoff in Different Currencies

In the stackexchange answer Change of numeraire in options with currency exchange features Pratically speaking, what this expresses is that these two things are the same: Converting the payoff (which ...
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### How to price american barrier with Local-Stochastic Volatility

I have attended a conference where one speaker mentioned that the market standard to price FX and Equity derivatives is now the Local-Stochastic volatility model. I understand this class of model is a ...
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### How does the issuer of a Barrier Reverse Convertible determine the coupon?

I am looking into BRC's, and I keep reading about their relatively high coupon rates which are pre-determined by the issuer. However, I can't seem to find any good resources on HOW they pre-determine ...
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### Is there an analogous strikeFromDelta implementation for 1st gen barrier options?

I have a simple replication pricing implementation for 1st gen exotics (digitals, single and double barriers, etc.). In order to effectively test strategies I want to price "like" strikes ...
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### Can I combine the exotics for a payout?

Can I combine a one touch option(barrier lower than current price) and no touch option(barrier higher than current price), so that I get a payout immediately only if the one touch barrier is breached ...
I'm currently struggling with the derivation of a formula to price the following exotic option with Black-Scholes. The option has the maximum payoff of $(S_T-z)$ and $(y - S_T)$, where $S_T$ is the ...