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Risks 2015, 3(3), 234-249; doi:10.3390/risks3030234

Options with Extreme Strikes

School of Mathematics, University of Minnesota-Twin Cities, 206 Church Street S.E., Minneapolis, MN 55455, USA
Academic Editor: Emiliano A. Valdez
Received: 17 May 2015 / Accepted: 4 July 2015 / Published: 8 July 2015
(This article belongs to the Special Issue Recent Advances in Mathematical Modeling of the Financial Markets)
View Full-Text   |   Download PDF [334 KB, uploaded 8 July 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. View Full-Text
Keywords: option pricing; extreme strikes; Black–Scholes models option pricing; extreme strikes; Black–Scholes models
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Zhu, L. Options with Extreme Strikes. Risks 2015, 3, 234-249.

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