Examples include the following.
- Asian options, whose payoff depends on the average price over a period
- Lookback options, which depend on the highest or lowest price
- Barrier options, where the right comes into existence or disappears depending on whether a set level is touched
- Digital options, which pay a fixed amount if the price at expiry is above the strike price
Many are traded over the counter, with terms set to meet the user's needs.
Their markets are less liquid than those for vanilla options, and a quoted price may not be one at which the position can actually be closed out. Valuation therefore relies more heavily on models.