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Options with Extreme Strikes

Authors :
Lingjiong Zhu
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.

Details

Language :
English
ISSN :
22279091
Volume :
3
Issue :
3
Database :
OpenAIRE
Journal :
Risks
Accession number :
edsair.doi.dedup.....85142a270dfee7b3b972c90d8697cefb