Pricing formula for power options under jump-diffusion
Payoff of a power option is typified by its underlying share price raised to a constant power. Also known as leveraged option,a minor change in its underlying may lead to a significant change in its price. In this study, we derive pricing formula for power options using the martingale approach when...
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Natural Sciences Publishing
2015
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my.upm.eprints.460012018-05-14T06:16:16Z http://psasir.upm.edu.my/id/eprint/46001/ Pricing formula for power options under jump-diffusion Ibrahim, Siti Nur Iqmal O’Hara, John G. Mohd Zaki, Muhammad Syazwan Payoff of a power option is typified by its underlying share price raised to a constant power. Also known as leveraged option,a minor change in its underlying may lead to a significant change in its price. In this study, we derive pricing formula for power options using the martingale approach when the underlying asset follows a jump-diffusion process. Natural Sciences Publishing 2015 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/46001/1/Pricing%20formula%20for%20power%20options%20under%20jump-diffusion.pdf Ibrahim, Siti Nur Iqmal and O’Hara, John G. and Mohd Zaki, Muhammad Syazwan (2015) Pricing formula for power options under jump-diffusion. Applied Mathematics & Information Sciences, 10 (4). pp. 1313-1317. ISSN 1935-0090; ESSN: 2325-0399 10.18576/amis/100410 |
| institution |
Universiti Putra Malaysia |
| building |
UPM Library |
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Malaysia |
| content_provider |
Universiti Putra Malaysia |
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http://psasir.upm.edu.my/ |
| language |
English |
| description |
Payoff of a power option is typified by its underlying share price raised to a constant power. Also known as leveraged option,a minor change in its underlying may lead to a significant change in its price. In this study, we derive pricing formula for power options using the martingale approach when the underlying asset follows a jump-diffusion process. |
| format |
Article |
| author |
Ibrahim, Siti Nur Iqmal O’Hara, John G. Mohd Zaki, Muhammad Syazwan |
| spellingShingle |
Ibrahim, Siti Nur Iqmal O’Hara, John G. Mohd Zaki, Muhammad Syazwan Pricing formula for power options under jump-diffusion |
| author_facet |
Ibrahim, Siti Nur Iqmal O’Hara, John G. Mohd Zaki, Muhammad Syazwan |
| author_sort |
Ibrahim, Siti Nur Iqmal |
| title |
Pricing formula for power options under jump-diffusion |
| title_short |
Pricing formula for power options under jump-diffusion |
| title_full |
Pricing formula for power options under jump-diffusion |
| title_fullStr |
Pricing formula for power options under jump-diffusion |
| title_full_unstemmed |
Pricing formula for power options under jump-diffusion |
| title_sort |
pricing formula for power options under jump-diffusion |
| publisher |
Natural Sciences Publishing |
| publishDate |
2015 |
| url |
http://psasir.upm.edu.my/id/eprint/46001/1/Pricing%20formula%20for%20power%20options%20under%20jump-diffusion.pdf http://psasir.upm.edu.my/id/eprint/46001/ |
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1643833727684444160 |
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13.250246 |