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Options with Extreme Strikes
- Source :
- Risks, Vol 3, Iss 3, Pp 234-249 (2015), Risks, Volume 3, Issue 3, Pages 234-249
- Publication Year :
- 2015
- Publisher :
- MDPI AG, 2015.
-
Abstract
- In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black-Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the tail asymptotics for these option types fall into four scenarios.
- Subjects :
- Financial economics
Strategy and Management
Economics, Econometrics and Finance (miscellaneous)
Short paper
extreme strikes
Black–Scholes model
Black-Scholes models
jel:C
lcsh:HG8011-9999
Black–Scholes models
lcsh:Insurance
jel:M4
jel:K2
jel:G0
jel:G1
jel:G2
Accounting
jel:G3
ddc:330
Economics
Asian option
option pricing
Actuarial science
Stock price
jel:M2
Valuation of options
Subjects
Details
- Language :
- English
- ISSN :
- 22279091
- Volume :
- 3
- Issue :
- 3
- Database :
- OpenAIRE
- Journal :
- Risks
- Accession number :
- edsair.doi.dedup.....85142a270dfee7b3b972c90d8697cefb