Option prices with call prices

Lauri Viitasaari

Papers from arXiv.org

Abstract: There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. In particular, we introduce a new pricing formula which can be used to price more general options if prices for call options and digital options are known for every strike price. Moreover, we derive similar results for barrier type options. As a consequence, we obtain a static hedging for general options in the general class of models. Our result can be utilised in several significant applications. As a simple example, we derive an upper bound for the value of a general American option with convex payoff and characterise conditions under which the value of this option equals to the value of the corresponding European option.

Date: 2012-07, Revised 2012-08
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/1207.6205 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1207.6205

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().