A generalization of exotic options pricing formulae

DOI10.1631/JZUS.2006.A0584MaRDI QIDQ2508200zbMATH OpenOpenAlexFDO

Authors Shujin Li, Shenghong Li

Publication date 9 October 2006

Published in Journal of Zhejiang University. Science A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1631/jzus.2006.a0584

zbMATH Keywords

change of probability measure, numerairecompound optionsGirsanov's theoremrisk-neutral measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• Exotic options pricing formulae with stochastic interest rates
• A generalization of the Geske formula for compound options
• The reset option pricing in jump-diffusion models
• scientific article; zbMATH DE number 1238161
• Change of time method in mathematical finance

Cites work

• A generalization of the Geske formula for compound options
• Changes of numéraire, changes of probability measure and option pricing
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• The pricing of options and corporate liabilities

Cited in

(13)

• Generalization of an integral option
• On the option pricing for a generalization of the binomial model
• A unified approach for the pricing of options relating to averages
• A generalization of the Geske formula for compound options
• scientific article; zbMATH DE number 5852050 (Why is no real title available?)
• scientific article; zbMATH DE number 5283783 (Why is no real title available?)
• Exotic options pricing formulae with stochastic interest rates
• The Valuation of Elementary Exotics with Strike Resets
• ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
• Generalized trapezoidal formulas for valuing American options
• Static hedging and pricing of exotic options with payoff frames
• Compound options with time-dependent parameters
• A snowball currency option

This page was built for publication: A generalization of exotic options pricing formulae

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2508200)