Lecture 8 Supplementary Part 2

2 2 exocopons supplementaryslide3

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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...
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