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). pp. 1313-1317. DOI https://doi.org/10.18576/amis/100410
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). pp. 1313-1317. DOI https://doi.org/10.18576/amis/100410
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). pp. 1313-1317. DOI https://doi.org/10.18576/amis/100410
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 Faculty of Science and Health > Mathematical Sciences, Department of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 22 Nov 2016 14:28 |
| Last Modified: | 06 Jan 2022 13:38 |
| URI: | http://repository.essex.ac.uk/id/eprint/18166 |