1. Conceitos base
2. Produtos estruturados
3. Modelo de Merton: recapitulação
4. Compound options
4.1. Normal bivariada
4.2. Pricing de opções europeias
5. Chooser options:
simples e complexas
6. Barrier options
6.1. Reflection principle
6.2. Deterministic time change
6.3. Knock-ins e knock-outs
6.4. Rebates
7. Lookback options
8. Asian options
9. Forward-start options
10. Correlation dependent options
11. Alternativas ao Modelo de Black-Scholes
11.1. Processos CEV
11.2. Stochastic volatility:
modelo de Heston
BIBLIOGRAFIA BASE
Briys, E., M. Bellalah,
H. M. Mai and F. De Varenne, Options, Futures,
and Exotic Derivatives, Wiley, 1998.
Hull, John C., Options,
Futures, and Other Derivative Securities, Prentice Hall, 10th edition,
2017.
Zhang, P., Exotic
Options: A Guide to Second Generation Options, World Scientific, 1998,
2nd edition.
