Risks 2015, 3(3), 234-249; https://doi.org/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)
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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MDPI and ACS Style
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.
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