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Credit Engineering for Bankers, 2nd Edition by Johnathan Mun, Morton Glantz

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Chapter 17 Exotic Options, Options Engineering, and Credit Risk

Chapter Outline

  • Common Credit Derivatives 432
    • Credit Default Swap 432
    • Credit Spread Option 433
  • OTC Exotic Options 433
    • Accruals on Basket of Assets 433
    • American, Bermudan, and European Options with Sensitivities 434
    • American Call Option on Foreign Exchange 434
    • American Call Options on Index Futures 435
    • American Call Option with Dividends 436
    • Asian Lookback Options Using Arithmetic and Geometric Averages 436
    • Asset or Nothing Options 436
    • Barrier Options 437
    • Binary Digital Options 437
    • Cash or Nothing Options 438
    • Chooser Option (Simple Chooser) 438
    • Chooser Option (Complex Chooser) 438
    • Commodity Options 439
    • Currency (Foreign Exchange) Options 439
    • Double Barrier Options 440

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