A closed-form pricing formula of European options is obtained by Fischer Black and Myron Scholes (1973). In such a European option, the payoff depends `linearly' on the underlying asset price at the expiration time. An
power option has a payoff which depends nonlinearly on the underlying asset price at the expiration time by raising a certain exponent. In the Black-Scholes model, a closed-form formula of a power option is obtained by Esser (2004). This paper extends Esser's result to the generalized Black-
Scholes model. That is, we derive a closed-form pricing formula of a power option in the case when both the interest rate and the stock volatility are time-dependent.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0808111-161815 |
| Date | 08 August 2011 |
| Creators | Wu, Yi-Yun |
| Contributors | Hong-Kun Xu, Yen-Cherng Lin, Jen-Chih Yao, Lai-Jiu Lin |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0808111-161815 |
| Rights | unrestricted, Copyright information available at source archive |
Page generated in 0.0016 seconds