Options with constant underlying elasticity in strikes

DOI10.1007/S11147-005-3850-ZMaRDI QIDQ812141zbMATH OpenOpenAlexFDO

Authors Lloyd P. Blenman, Steven P. Clark

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

exercise price uncertaintyexotic optionsnonlinear payoff options

Mathematics Subject Classification ID

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump-diffusion model for option pricing
• scientific article; zbMATH DE number 1238161 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Option pricing when underlying stock returns are discontinuous
• Option Pricing With V. G. Martingale Components¹
• Pricing contingent claims on stocks driven by Lévy processes
• The pricing of options on assets with stochastic volatilities

Cited in

(4)

• Pricing vulnerable power exchange options in an intensity based framework
• INVESTMENT TIMING UNDER REGIME SWITCHING
• Pricing of Quanto power options and related exotic options
• Pricing exchange options under hybrid stochastic volatility and interest rate models

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