EXO

Exotics and structured products

Digitals, barriers and multi-asset payoffs — and why the hedging is the hard part.

1
Path-independent exotics
Digitals and their call-spread replication, gap and power options.
- 1.1Digitals and barriers: why the hedging is the hard part12 min
2
Path-dependent exotics
Barriers, Asians, lookbacks and autocallables.
- 2.1Path-dependent exotics: Asians, lookbacks and autocallables13 min
3
Multi-asset
Baskets, best-of, spread options and the quanto adjustment.
- 3.1Multi-asset exotics: baskets, best-of, spreads and quantos12 min
4
Hedging exotics
Why a digital is hard to hedge near the strike, and static replication.
- 4.1Hedging exotics: static replication, and reserving for what you cannot hedge13 min