The valuation of powered options

MaRDI QIDQ2948180zbMATH OpenFDO

Authors Hong-Kun Xu

Publication date 29 September 2015

Full work available at URL http://www.yokohamapublishers.jp/online2/opjnca/vol16/p1461.html

zbMATH Keywords

Black-Scholes-Mertonequivalent martingale measurepowered optionrisk-neutral valuation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• The use of power numeraires in option pricing
• Pricing and hedging power options
• Valuation of power option for uncertain financial market
• Pricing of fixed-strike arithmetic Asian powered options
• Valuation of power options under Heston's stochastic volatility model

Cited in

(5)

• Pricing and hedging power options
• The use of power numeraires in option pricing
• Computation of powered option prices under a general model for underlying asset dynamics
• scientific article; zbMATH DE number 6686689 (Why is no real title available?)
• scientific article; zbMATH DE number 1491042 (Why is no real title available?)

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