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FRM^®一级金融市场与金融产品备考公式（3）

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发布时间：2021-12-08 16:10

阅读：662次

本文继续为大家介绍FRM®一级风险管理基础的备考公式，以下是第三部分金融市场与金融产品的相关公式（3），一起来看吧。

Financial Markets and Products

Exotic Options

Gap option: payoff is increased or decreased by the difference between two strike prices. Forward start option: options that begin their existence at some time in the future.【点击免费下载>>>更多FRM学习相关资料】

Compound option: option on another option.

Chooser option: owner chooses whether option is a call or a put after initiation.

Barrier option: payoff and existence depend on price reaching a certain barrier level.

Binary option: pay either nothing or a fixed amount.

Lookback option: payoff depends on the maximum (call) or minimum (put) value of the underlying asset over the life of the option. This can be fixed or floating, depending on the specification of a strike price.

Asian option: payoff depends on average of the underlying asset price over the life of the option; less volatile than standard option.

Exchange option: exchange one currency with another.

Basket options: options to purchase or sell baskets of securities. These baskets may be defined specifically for the individual investor and may be composed of specific stocks, indices, or currencies.

Forward Interest Rates

Forward rates are interest rates implied by the spot curve for a specified future period. The forward rate between T1 and T2 can be calculated as: