Pricing formula for power options under jump-diffusion

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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...

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Bibliographic Details
Main Authors:	Ibrahim, Siti Nur Iqmal, O’Hara, John G., Mohd Zaki, Muhammad Syazwan
Format:	Article
Language:	English
Published:	Natural Sciences Publishing 2015
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

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