Pricing Various Types of Power Options under Stochastic Volatility
Abstract
:1. Introduction
2. Model Specification and Pricing Formula for Power Options
3. Application to Various Power Payoffs
3.1. Symmetric Power Option
3.2. Polynomial Options
3.3. Soft Strike Options
4. Numerical Experiments
4.1. The General Case
4.2. The Symmetric Case
5. Conclusions and Discussion
Author Contributions
Funding
Acknowledgments
Conflicts of Interest
References
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Lee, Y.; Kim, Y.; Lee, J. Pricing Various Types of Power Options under Stochastic Volatility. Symmetry 2020, 12, 1911. https://doi.org/10.3390/sym12111911
Lee Y, Kim Y, Lee J. Pricing Various Types of Power Options under Stochastic Volatility. Symmetry. 2020; 12(11):1911. https://doi.org/10.3390/sym12111911
Chicago/Turabian StyleLee, Youngrok, Yehun Kim, and Jaesung Lee. 2020. "Pricing Various Types of Power Options under Stochastic Volatility" Symmetry 12, no. 11: 1911. https://doi.org/10.3390/sym12111911