13.1 Why interest rate options are different

13.2 Caps, floors and collars

13.3 Swaptions

13.4 Cancellable and extendible swaps

13.5 Pricing interest rate options

13.6 Compound options

13.7 Exotic options

13.8 Path-dependent options

13.9 Digital options

13.10 Multivariate options

13.11 Other exotic options

13.12 Pricing exotic options

13.13 Price comparisons between exotic options

13.14 Embedded options

This chapter focuses on two further and important option topics – interest rate options and exotics. It starts by explaining why interest rate options are different from options on other underliers, and then goes on to show how strips of single-period options can be combined to create multi-period ...

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