| Abstract [eng] |
Financial engineering have created exotic options that are more attractive to investors for more profitability than plain-vanilla options and non-standartization. Recently years have grown liquidity on OTC tradable options, and they became even more attractive for investors. Financial institutions compete for new exotic option creation, because they want to offer investors the best financial instruments for their expectations. Exotic options could be created not only on stocks, index, interest rates or currency bases, but even on not real-existed asset. There exists a problem of exotic options valuation, because there are a big variety of exotic options. The object of the study – exotic options as variable value derivatives. The purpose of the study – after analyse of characteristics and pricing methods of options, create a model for exotic options evaluation and make model parameters sensitivity analysis. The findings of the scholar finance literature pointed, that options could be used for hedging from risks or speculation. After analysis of options characteristics and exotic options classifications, authoress offer new exotic options classification, which depends on option characteristics. To summarize of scolar literature pointed, that the most important for valuing options is their parameters: strike price, underlying spot price and volatility, risk free rate, maturity and, if it is, dividens. After comparable analysis it emerged, that exotic options greeks functions differs from plain-vanilla options because of specific characteristics of exotic options. Black-Scholes and Merton option pricing models analysis pointed, that after modifications their could be used to value exotic options, added to models exotic options characteristics. Binomial model reproduce the Black-Scholes model in the limit. The study of scholar literature made a possibility to create a model for exotic options valuation parameters and their sensitivities analysis. After research stated, that exotic options price function, which is dependend from stock market price, assumed different shapes. That depends from exotic option characteristics. |
