Pricing formula for power options under 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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Natural Sciences Publishing
2015
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| Online Access: | http://psasir.upm.edu.my/id/eprint/46001/ http://psasir.upm.edu.my/id/eprint/46001/1/Pricing%20formula%20for%20power%20options%20under%20jump-diffusion.pdf |
| _version_ | 1848850576012476416 |
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| author | Ibrahim, Siti Nur Iqmal O’Hara, John G. Mohd Zaki, Muhammad Syazwan |
| author_facet | Ibrahim, Siti Nur Iqmal O’Hara, John G. Mohd Zaki, Muhammad Syazwan |
| author_sort | Ibrahim, Siti Nur Iqmal |
| building | UPM Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T10:08:29Z |
| format | Article |
| id | upm-46001 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T10:08:29Z |
| publishDate | 2015 |
| publisher | Natural Sciences Publishing |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-460012018-05-14T06:16:16Z http://psasir.upm.edu.my/id/eprint/46001/ Pricing formula for power options under 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 2015 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/46001/1/Pricing%20formula%20for%20power%20options%20under%20jump-diffusion.pdf Ibrahim, Siti Nur Iqmal and O’Hara, John G. and Mohd Zaki, Muhammad Syazwan (2015) Pricing formula for power options under jump-diffusion. Applied Mathematics & Information Sciences, 10 (4). pp. 1313-1317. ISSN 1935-0090; ESSN: 2325-0399 10.18576/amis/100410 |
| spellingShingle | Ibrahim, Siti Nur Iqmal O’Hara, John G. Mohd Zaki, Muhammad Syazwan Pricing formula for power options under jump-diffusion |
| title | Pricing formula for power options under jump-diffusion |
| title_full | Pricing formula for power options under jump-diffusion |
| title_fullStr | Pricing formula for power options under jump-diffusion |
| title_full_unstemmed | Pricing formula for power options under jump-diffusion |
| title_short | Pricing formula for power options under jump-diffusion |
| title_sort | pricing formula for power options under jump-diffusion |
| url | http://psasir.upm.edu.my/id/eprint/46001/ http://psasir.upm.edu.my/id/eprint/46001/ http://psasir.upm.edu.my/id/eprint/46001/1/Pricing%20formula%20for%20power%20options%20under%20jump-diffusion.pdf |