Artikel
Options with extreme strikes
In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black-Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the tail asymptotics for these option types fall into four scenarios.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 3 ; Year: 2015 ; Issue: 3 ; Pages: 234-249 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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option pricing
extreme strikes
Black-Scholes models
- Event
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Geistige Schöpfung
- (who)
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Zhu, Lingjiong
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2015
- DOI
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doi:10.3390/risks3030234
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Zhu, Lingjiong
- MDPI
Time of origin
- 2015
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