Options with Extreme Strikes
AbstractIn 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. View Full-Text
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Zhu, L. Options with Extreme Strikes. Risks 2015, 3, 234-249.
Zhu L. Options with Extreme Strikes. Risks. 2015; 3(3):234-249.Chicago/Turabian Style
Zhu, Lingjiong. 2015. "Options with Extreme Strikes." Risks 3, no. 3: 234-249.