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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
Risks 2015, 3(3), 234-249; https://doi.org/10.3390/risks3030234
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)
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
MDPI and ACS Style

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

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