Communications of the Korean Mathematical Society (대한수학회논문집)

Korean Mathematical Society (대한수학회)
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CHOOSER OPTIONS ON VARIOUS UNDERLYING OPTIONS

  • Wonjoong Kim (Program in Actuarial Science and Financial Engineering Korea University) ;
  • Jinyoung Lee (Department of Financial Engineering Korea University)
  • Received : 2023.06.19
  • Accepted : 2023.07.21
  • Published : 2024.04.30
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Abstract

We consider chooser options written on various underlying assets other than vanilla call and put options. Specifically, we deal with (i) the chooser option written on the power call and put options, and (ii) the chooser option written on the exchange options. We provide explicit formulas for the prices of these chooser options whose underlying assets are either power options or exchange options, rather than the vanilla call and put options.

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References

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