Power exchange options

Finance Research Letters

Volumn 2, Issue 2, 2005, Pages 97-106

  Blenman, Lloyd P ^a   Clark, Steven P ^a  

^a UNIVERSITY OF NORTH CAROLINA AT CHARLOTTE   (United States)

Author keywords

Exchange options; Exotic options; Power options

Indexed keywords

EID: 18744403661     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2005.01.003     Document Type: Article

References (8)

1. A. Esser General valuation principles for arbitrary payoffs and application to power options under stochastic volatility models Financial Markets and Portfolio Management 17 2003 351-372
2. S. Fischer Call option pricing when the exercise price is uncertain, and the valuation of index bonds Journal of Finance 33 1978 169-176
3. S.D. Jacka Optimal stopping and the American put Mathematical Finance 1 1991 1-14
4. S.A. Johnson Y.S. Tian Indexed executive stock options Journal of Financial Economics 57 2000 35-64
5. I. Karatzas S.E. Shreve Methods of Mathematical Finance 1998 Springer-Verlag Berlin
6. W. Margrabe The value of an option to exchange one asset for another Journal of Finance 33 1978 177-186
7. R.G. Tompkins Power options: Hedging nonlinear risks Journal of Risk 2 1999 29-45
8. P.G. Zhang Exotic Options: A Guide to the Second Generation Options 1997 World Scientific Singapore