An Introduction to Exotic Option Pricing

Symbols and Abbreviations

aBm	Arithmetic Brownian motion
ADS	Arrow-Debreu security
AFM	Arbitrage Free Measure
a.s.	Almost surely
atm	At-the-money
BS	Black-Scholes
ccf	Correlation coefficient
cdf	Cumulative density function
EMM	Equivalent martingale measure
d	Equal in distribution
ESO	Executive stock option
FBV	Free boundary value (problem)
FK	Feynman-Kac
FTAP	Fundamental Theorem of Asset Pricing
FX	Foreign exchange
gBm	Geometrical Brownian motion
GM	Geometric mean
GFC	Global Financial Crisis
GST	Gaussian Shift Theorem
hot	Higher order terms
iid	Independent and identically distributed
iff	If and only if
IVP	Initial Value Problem
itm	In-the-money
ode	Ordinary differential eqn.
lhs	Left-hand ...