Options with constant underlying elasticity in strikes

DOI10.1007/s11147-005-3850-zzbMath1108.91037OpenAlexW2067827811MaRDI QIDQ812141

Steven P. Clark, Lloyd P. Blenman

Publication date: 23 January 2006

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

Full work available at URL: https://doi.org/10.1007/s11147-005-3850-z

zbMATH Keywords

exotic optionsexercise price uncertaintynonlinear payoff options

Mathematics Subject Classification ID

Related Items (3)

Pricing vulnerable power exchange options in an intensity based framework ⋮ Pricing of Quanto power options and related exotic options ⋮ INVESTMENT TIMING UNDER REGIME SWITCHING

Cites Work

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• A Jump-Diffusion Model for Option Pricing
• Pricing contingent claims on stocks driven by Lévy processes
• Option Pricing With V. G. Martingale Components¹
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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