American binary one-touch
DigitalMulti
Pays as soon as touched
Source: encyclopedia
Arithmetic Asian
AsianMulti
Most common Asian; needs Monte Carlo to price
Source: encyclopedia
Asian options for commodity hedging
AsianMulti
Reduce manipulation risk vs single fixing
Source: Hull
Asian options for currency
AsianMulti
FX corporates use Asian to smooth fixing
Source: encyclopedia
Asset-or-nothing digital
DigitalMulti
Pays asset value if condition met else 0
Source: encyclopedia
Average-rate option
AsianMulti
Payoff vs avg-rate not terminal price
Source: strike.money
Average-strike option
AsianMulti
Strike = avg over period; payoff vs terminal
Source: encyclopedia
Basket option average basket
Multi-AssetMulti
Payoff on weighted-avg basket value
Source: encyclopedia
Bermudan barrier exotic
BarrierLong
Barrier with Bermudan exercise rights
Source: encyclopedia
Bermudan-Asian hybrid
AsianMulti
Combine Asian + Bermudan exercise
Source: encyclopedia
Best-of option
Multi-AssetLong
Pays based on best-performing asset
Source: encyclopedia
Call-on-call compound
CompoundLong
Right to buy a call - used for deal contingency
Source: Geske 1979
Call-on-put compound
CompoundLong
Right to buy a put
Source: encyclopedia
Cash-or-nothing digital
DigitalMulti
Pays fixed cash if condition met else 0
Source: strike.money
Cliquet with global cap
Path DependentMulti
Sum of capped resets bounded globally
Source: encyclopedia
Cliquet/Ratchet option
Forward StartMulti
Series of forward-starts ratcheting up strikes
Source: encyclopedia
Complex chooser
ChooserMulti
Strikes differ between call & put options
Source: encyclopedia
Composite option
Multi-AssetMulti
Foreign asset converted at spot at maturity
Source: encyclopedia
Conditional variance swap
VolatilityLong vol
Variance only above/below threshold
Source: encyclopedia
Continuous-monitored barrier
BarrierLong
Barrier monitored continuously - more sensitive
Source: encyclopedia
Corridor variance swap
VolatilityLong vol
Variance only when in corridor
Source: encyclopedia
Discrete-monitored barrier
BarrierLong
Barrier checked at discrete observation dates
Source: encyclopedia
Double no-touch DNT
DigitalMulti
Pays if neither barrier touched - common FX product
Source: encyclopedia
Double one-touch DOT
DigitalMulti
Pays if either barrier touched
Source: encyclopedia
Double-barrier KO option
BarrierLong
Both upper + lower KO barriers - cheap range bet
Source: encyclopedia
Down-and-in put
BarrierLong
Put activates only after price falls to barrier
Source: encyclopedia
Down-and-out put
BarrierLong capped
Put that disappears if asset falls below lower barrier
Source: encyclopedia
European binary cash-or-nothing
DigitalMulti
Pay-at-expiry digital
Source: Hull
Fixed-strike lookback
LookbackLong
Pays max-strike for call max possible profit
Source: encyclopedia
Floating-strike Asian
AsianMulti
Strike floats with average path
Source: encyclopedia
Floating-strike lookback
LookbackLong
Holder picks best entry/exit during life
Source: strike.money
Forward variance swap
VolatilityLong vol
Forward-starting variance swap
Source: encyclopedia
Forward-start option
Forward StartMulti
Strike set at future date typically as % of spot
Source: Rubinstein
Gamma swap
VolatilityLong vol
Pays sum of squared returns weighted by spot
Source: encyclopedia
Geometric Asian
AsianMulti
Payoff = max(0 GeoAvg - K) - has closed-form
Source: encyclopedia
Hindsight option
LookbackLong
Choose best from set ex-post
Source: encyclopedia
Israeli option
Path DependentMulti
Issuer can cancel paying penalty
Source: Kifer 2000
Locally-capped cliquet
Forward StartMulti
Each reset capped at +/- bound
Source: encyclopedia
No-touch option
DigitalMulti
Pays if asset never touches level during life
Source: encyclopedia
One-touch option
DigitalMulti
Pays if asset touches level any time during life
Source: encyclopedia
Outperformance option
Multi-AssetMulti
Pays max(0 ratio_A/ratio_B - 1)
Source: encyclopedia
Partial-lookback
LookbackLong
Lookback only over part of life
Source: encyclopedia
Put-on-call
CompoundMulti
Right to sell a call
Source: encyclopedia
Put-on-put compound
CompoundMulti
Right to sell a put
Source: encyclopedia
Quanto option
Multi-AssetMulti
Foreign-asset payoff settled in domestic ccy at fixed FX
Source: encyclopedia
Rainbow option
Multi-AssetMulti
Multi-asset payoffs based on rank/order
Source: encyclopedia
Range accrual note
DigitalMulti
Coupon accrues per day rate stays in range
Source: encyclopedia
Range accrual note
RangeLong
Coupon accrues per day in range - structured product
Source: encyclopedia
Range option range warrants
RangeMulti
Pay if asset stays in range over period
Source: encyclopedia
Reverse cliquet
Forward StartMulti
Locks gains; ratchets strike down
Source: encyclopedia
Reverse-knock-out RKO
BarrierLong
KO triggered only if option becomes ITM by some amount
Source: encyclopedia
Russian option
Path DependentMulti
Pays max-min during life
Source: Shepp Shiryaev
Shout option
Path DependentMulti
Holder shouts to lock in current intrinsic value
Source: encyclopedia
Spread option Margrabe
Multi-AssetMulti
Margrabe 1978: option to exchange one asset for another
Source: Margrabe 1978
Standard chooser
ChooserMulti
At chooser date pick call or put
Source: Hull
Up-and-in call
BarrierLong
Activates only if barrier touched - cheaper than vanilla
Source: strike.money
Up-and-out call
BarrierLong capped
Vanilla call that expires worthless if upper barrier breached
Source: strike.money
VIX futures and options
VolatilityLong vol
Listed VIX vol exposure
Source: CBOE
Variance swap
VolatilityLong vol
Pays realized var - var strike notional
Source: Demeterfi
Volatility swap
VolatilityLong vol
Pays realized vol - vol strike notional
Source: encyclopedia
Window barrier option
BarrierLong
Barrier active only during defined window
Source: Hull
Worst-of option
Multi-AssetMulti
Pays based on worst-performing asset (used in autocallables)
Source: encyclopedia
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.