Commodities, Derivatives and Structured Products

Exotic Options - Part 5


This eCourse consists of two modules. Module 1 look at how exotic options can be priced using numerical techniques such as the Black-Scholes model (BOPM) and simulation approaches and how path-dependent products can be priced using Monte Carlo simulation. Exotic options are options that have nonstandard payoffs and are unsuitable for pricing using closed-form solutions.

Module 2 looks at some of the main uses of exotic options, including callable asset swaps, portfolio insurance, and structured products.


On completion of this course, you will be able to:
- Define the challenges involved in pricing options with nonstandard payoffs
- Recognise how the binomial option pricing model (BOPM) can be used to price American and Bermudan options, as well as exotic options, such as barrier options
- Recall how Monte Carlo simulation can be used to price path-dependent options
- Identify the key applications of exotic options, such as binary options, Bermudan options, barrier options and Asian options
- Recognise the use of exotic options in callable asset swaps, exposure to option sensitivities (“Greeks”), portfolio insurance strategies, and structured notes


Module 1: Exotic Options - Pricing
Topic 1: Overview
Topic 2: Binomial Option Pricing Model (BOPM)
Topic 3: Monte Carlo Simulation

Module 2: Exotic Options - Application
Topic 1: Overview
Topic 2: Applications of Binary Options
Topic 3: Applications of Bermudan Options
Topic 4: Applications of Barrier Options
Topic 5: Applications of Asian Options


Relevant Subject
Type 1 - Dealing in securities
Type 2 - Dealing in futures contracts
Type 3 - Leveraged foreign exchange trading
Type 4 - Advising on securities
Type 5 - Advising on futures contracts
SFC:1.50, PWMA:1.50
All Member: HK$485
Staff of Corporate Member: HK$485
Non-Member: HK$735