Citation
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
Abstract
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 |
| Statistic Details: | View Download Statistic |
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