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Pricing Formula for Power Options with Jump-Diffusion

Ibrahim, SNI and O'Hara, JG and Zaki, MSM (2016) 'Pricing Formula for Power Options with Jump-Diffusion.' Applied Mathematics and Information Sciences, 10 (4). 1313 - 1317. ISSN 1935-0090

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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.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions: Faculty of Science and Health > Computer Science and Electronic Engineering, School of
Depositing User: Jim Jamieson
Date Deposited: 22 Nov 2016 14:28
Last Modified: 25 Sep 2018 12:15
URI: http://repository.essex.ac.uk/id/eprint/18166

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