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Exotics Options
Black & Scholes Accrual Option (Up/Down)
A contract valuing the payoff proportional to when the asset price hits the barrier.
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Black & Scholes Binary Option
A contract valuing the binary payoff when the asset price hits (or does not) the barrier.
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Black & Scholes Fixed Lookback Option
A contract valuing the maximum payoff against a strike.
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Black & Scholes Floating Lookback Option
A contract valuing the maximum payoff against the asset price final value at expiry.
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Black & Scholes Corridor Option
A contract paying an ongoing daily, weekly or monthly rebate only whenever the asset price is between the lower and higher barrier. Otherwise the option contribution equals zero.
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