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Opcje egzotyczne – wybrane przykłady opcji drugiej generacji

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Ziętek-Kwaśniewska K.

Roczniki Ekonomii i Zarządzania

2010

vol. 2(38)

81-99

An option is one of the derivative instruments giving the right to buy or sell a specific amount of an underlying asset at an agreed price on or before a specified date in the future. With the option market growth and with the growing sophistication of investors, in addition to the standard (plain vanilla) calls and puts, the new products have arisen, called exotic options. These instruments, also known as the second generation options, can be defined as the option contracts with the payoff structure different from the standard European and American options. The aim of the paper is to make a synthetic presentation of the large family of exotic options. With reference to the characteristics defined by M. Ong, six groups of exotic options are identified and described on the selected examples, namely: – singular payoff options – options characterized by discontinuities or sudden jumps in the payoff function, – time-dependent options – options giving the right to choose the exercise date or certain features in the future, – nonlinear payoff options – options with nonlinear relation between income and price of the underlying instrument, – compound options – options for which the underlying is another option, – correlation options – options which are dependent on two or more underlying assets, – path-dependent options – options contingent on the price path taken by the underlying asset.

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1 Roczniki Ekonomii i Zarządzania

1 Ziętek-Kwaśniewska K.

1 2010

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Opcje egzotyczne – wybrane przykłady opcji drugiej generacji