THE INTERSECTION BETWEEN EUROPEAN PUT PRICE AND ITS PAYOFF FUNCTION

DOI10.1142/S0219024913500222zbMath1271.91104OpenAlexW2047754260MaRDI QIDQ2842535

Jin E. Zhang, Shou-jun Huang, Tiecheng Li

Publication date: 15 August 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500222

zbMATH Keywords

asymptotic expansionpayoff functionBlack-Scholes formulaEuropean put

Mathematics Subject Classification ID

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• Analytical pricing of American options
• American options on assets with dividends near expiry
• PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD

This page was built for publication: THE INTERSECTION BETWEEN EUROPEAN PUT PRICE AND ITS PAYOFF FUNCTION