This preview shows page 1. Sign up to view the full content.
Unformatted text preview: ra'on of Underlying Op'on (if Compound Op'on exercised) The value of this CallOnCall Op'on then depends on: –
– 3/31/12 The likelihood of exercising the Compound CallOnCall at t1 AND… The likelihood that the Underlying Op'on will expire ITM. 2 2. Exo'c Op'ons Supplementary Slide 3 A Taxonomy of Exo'c Op'ons – Compound Op'ons Textbook pp 453‐457: • 4 types of Compound Op'ons: –
– CallOnCall CallOnPut PutOnCall PutOnPut Concept Check: Would the Compound Op'ons also obey the Put‐Ca...
View Full Document
- Fall '12