Valuation of European options in the market with daily price limit

DOI10.1080/135048600450293zbMath1021.91024OpenAlexW2012695603MaRDI QIDQ4541588

Junhwa Ban, Hyejin Ku, Hyeong In Choi

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048600450293

zbMATH Keywords

option pricingBlack-Scholes modelfinancial mathematics

Mathematics Subject Classification ID

Related Items (2)

A generalization of option pricing to price-limit markets ⋮ Valuation of futures options with initial margin requirements and daily price limit

Cites Work

• The Pricing of Options and Corporate Liabilities
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