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An Introduction to Exotic Option Pricing by Peter Buchen

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Chapter 10

Exotic Multi-Options

10.1 Introduction

Chapters 5 and 6 of this book dealt with dual expiry and two asset rainbow options respectively. It should be obvious that these option categories have multi-period and multi-asset extensions. That is, we might want to consider options with more than two expiry dates; or options with more than just two underlying assets. This chapter considers a class of derivatives which are simultaneously multi-period and multi-asset. In particular, in this chapter, we shall be mainly concerned with a single object, which we call an š¯•„-binary. This binary is the basic building block for all multi-period, multi-asset derivatives, which have a closed-form price in the Blackā€“Scholes economy. The š¯•„-binary is itself ...

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