Pricing formula for power options with 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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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Natural Sciences Publishing
2016
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| Online Access: | http://psasir.upm.edu.my/id/eprint/53668/1/Pricing%20formula%20for%20power%20options%20with%20jump-diffusion.pdf http://psasir.upm.edu.my/id/eprint/53668/ http://www.naturalspublishing.com/ContIss.asp?IssID=346 |
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