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Pricing formula for power options with jump-diffusion


Ibrahim, Siti Nur Iqmal and O’Hara, John G. and Mohd Zaki, Muhammad Syazwan (2016) Pricing formula for power options with jump-diffusion. Applied Mathematics & Information Sciences, 10 (4). pp. 1313-1317. ISSN 1935-0090; ESSN: 2325-0399


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.

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Additional Metadata

Item Type: Article
Divisions: Faculty of Science
Institute for Mathematical Research
DOI Number: https://doi.org/10.18576/amis/100410
Publisher: Natural Sciences Publishing
Keywords: Power option; Leveraged option; Black-Scholes; Geometric Brownian motion; Jump-diffusion
Depositing User: Nurul Ainie Mokhtar
Date Deposited: 04 Jan 2018 03:47
Last Modified: 04 Jan 2018 03:47
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.18576/amis/100410
URI: http://psasir.upm.edu.my/id/eprint/53668
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