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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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 |
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oai:psasir.upm.edu.my:53668 http://psasir.upm.edu.my/id/eprint/53668/ Pricing formula for power options with 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 2016-07 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/53668/1/Pricing%20formula%20for%20power%20options%20with%20jump-diffusion.pdf 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 http://www.naturalspublishing.com/ContIss.asp?IssID=346 10.18576/amis/100410 |
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| 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 with 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 with jump-diffusion |
| title_short |
Pricing formula for power options with jump-diffusion |
| title_full |
Pricing formula for power options with jump-diffusion |
| title_fullStr |
Pricing formula for power options with jump-diffusion |
| title_full_unstemmed |
Pricing formula for power options with jump-diffusion |
| title_sort |
pricing formula for power options with jump-diffusion |
| publisher |
Natural Sciences Publishing |
| publishDate |
2016 |
| url |
http://psasir.upm.edu.my/id/eprint/53668/1/Pricing%20formula%20for%20power%20options%20with%20jump-diffusion.pdf |
| _version_ |
1782723186696126464 |
| score |
12.935284 |