A generalization of option pricing to price-limit markets

DOI10.1007/S11147-019-09160-1zbMath1451.91197OpenAlexW2954538957WikidataQ127574178 ScholiaQ127574178MaRDI QIDQ2211004

Jia-Hau Guo, Lung-Fu Chang

Publication date: 10 November 2020

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-019-09160-1

zbMATH Keywords

fast Fourier transformcharacteristic functionanalytic solutionlocal timesbackward equationdaily price limit

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Valuation of European options in the market with daily price limit

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