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Author Country (or Countries)

Malaysia

Abstract

Payoff of a power option is typified by its underlying share price raised to a constant power. Also known as leveraged option, a minor change in its underlying may lead to a significant change in its price. In this study, we derive pricing formula for power options using the martingale approach when the underlying asset follows a jump-diffusion process.

Suggested Reviewers

N/A

Digital Object Identifier (DOI)

http://dx.doi.org/10.18576/amis/100410

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