Microsoft PowerPoint - PoF.ppt

Payoffs of path-independent optionsƒ 249

European call and put

ƒ

American call and put

ƒ

Bermudan call and put ... like American calls and puts but with early exercise allowed only on some pre-specified dates

ƒ

Digital / binary options

ƒ

Call

ƒ

Put

ƒ

“Mixed”

ƒ

Power options

ƒ

Call

ƒ

Put

(

)

N

n

E

S

n

n T

∈

−

where,

,

0

max

E

ST

≥

1

Derivative securities: Options - Some exotic options

E

ST

<

1

b

S

a

≥T

≥

1

(

)

N

n

S

E

n T

n

∈

−

where,

,

0

max