An actuarial approach to pricing of chooser options

MaRDI QIDQ3501644zbMATH OpenFDO

Authors Xuehui Bi, Xueqiao du

Publication date 3 June 2008

zbMATH Keywords

option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Brownian motion (60J65)

Recommendations

• scientific article; zbMATH DE number 7071390
• It's your choice: a unified approach to chooser options
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Cited in

(5)

• Pricing and calibration of a chooser flexible cap
• Chooser options on various underlying options
• Actuarial approach to option pricing in a fractional Black-Scholes model with time-dependent volatility
• It's your choice: a unified approach to chooser options
• Pricing chooser options under Lévy jump-diffusion processes

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