Options with Extreme Strikes
Lingjiong Zhu ()
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Lingjiong Zhu: School of Mathematics, University of Minnesota-Twin Cities, 206 Church Street S.E., Minneapolis, MN 55455, USA
Risks, 2015, vol. 3, issue 3, 1-16
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.
Keywords: option pricing; extreme strikes; Black–Scholes models (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 M2 M4 K2 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:3:y:2015:i:3:p:234-249:d:52276
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