In recent years there has been a remarkable growth of multi-asset options. These options exhibit sensitivity to the …: Is the information provided by equally weighted basket options enough to price other European multi-asset exotic … derivatives such as worst-of or outperformance options? This article investigates this issue under a stochastic correlation …

In recent years there has been a remarkable growth of volatility options. In particular, VIX options are among the most … actively trading contracts at CBOE. These options exhibit upward sloping volatility skew and the shape of the skew is largely … as to forward-start European options through the Fast Fourier Transform.To illustrate the practical performance of the …

Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility …. These options allow investors to take a joint exposure to the evolution of the underlying asset, as well as to its realized … realized volatility of the underlying asset over the life of the option. In equity options markets the slope of the skew is …

Outperformance options allow investors to benefit from a view on the relative performance of two underlying assets … semi-closed form solutions for the price of outperformance options. The article shows that the price of these options …

prices of plain vanilla options, as well as for the price of exotic derivatives. In this sense, this article develops semi …-closed-form formulas for the price of European worst-of options with barriers and/or forward-start features. To motivate the introduction …

volatility surface is pretty smooth and it is possible to recover the market price of European options quite accurately. Moreover …

Multi-asset options exhibit sensitivity to the correlations between the underlying assets and these correlations are … notoriously unstable. Moreover, some of these options such as the digital outperformance options, have a cross-gamma that changes … outperformance options when there is uncertainty about correlation, but it is assumed to lie within a certain range. Under the …