This thesis aims to introduce Exotic Options and help to understand the general ideas of them by explaining Exotic Options in general and to think of the methods to use them effectively by presenting three methods of pricing the Asian Option that is option with payoff determined by some average of the underlying asset price and is used often in the Exotic Options market. Especially, Chapter 4 attempts to reprice the existing Equity Linked Notes contract that have been transacted in the U.S.A. by using the simulation method due to the characteristic of the path-dependent Asian Option and analyze the results of the simulation.
In conclusion the desirable directions to use Exotic Options are presented by analyzing the above results.
