A generalization of option pricing to price-limit markets

This paper proposes an analytic solution for pricing options in markets with daily price limits. The Black–Scholes model is a nested case in which the daily price limit approaches infinity. Compared to the Black–Scholes model, our solution may solve the mispricing problem and could yield consistent...

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Veröffentlicht in:	Review of derivatives research 2020-07, Vol.23 (2), p.145-161
Hauptverfasser:	Guo, Jia-Hau, Chang, Lung-Fu
Format:	Artikel
Sprache:	eng
Schlagworte:	Derivatives Economics and Finance Finance Investments and Securities Numerical analysis
Online-Zugang:	Volltext
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