Pricing and hedging power options

DOI10.1007/BF02425804zbMATH Open1153.91507OpenAlexW3124866724MaRDI QIDQ1000415FDOQ1000415

Authors: Ronald C. Heynen, Harry M. Kat 

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02425804

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zbMATH Keywords

exotic option pricingoption hedgingstatic hedging

Mathematics Subject Classification ID

Cites Work

• The pricing of options and corporate liabilities
• Quantitative methods for portfolio analysis. MTV model approach

Cited In (29)

• Valuation formulae for window barrier options
• The use of power numeraires in option pricing
• General best of power option
• A new method for option pricing via time-fractional PDE
• American barrier option pricing formulas for currency model in uncertain environment
• Outside barrier lookback options with floating strike
• Title not available (Why is that?)
• Lookback options with discrete and partial monitoring of the underlying price
• The pricing of dual-expiry exotics
• Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
• Analytic solutions for American partial barrier options by exponential barriers
• The value of power-related options under spectrally negative Lévy processes
• Valuation of power options under Heston's stochastic volatility model
• An options pricing approach to ramping rate restrictions at hydro power plants
• Power option pricing problem based on uncertain mean-reverting stock model with floating interest rate
• Title not available (Why is that?)
• Pricing symmetric type of power quanto options
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• Valuation of American partial barrier options
• Pricing two-asset alternating barrier options with icicles and their variations
• Pricing vulnerable power exchange options in an intensity based framework
• Unifying exotic option closed formulas
• valuation of options on joint minima and maxima
• The valuation of powered options
• Employee stock options: an up-and-out protected barrier call
• Pricing vulnerable power option under a CEV diffusion
• The pricing of vulnerable power options with double Mellin transforms
• Computation of powered option prices under a general model for underlying asset dynamics
• Chooser options on various underlying options

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