Content area

Abstract

In this paper, we introduce a new type of barrier options called Lizard Option. The point is that its payoff depends on the stock price jump crossing a given barrier for the first time. In other words, Lizard Option is jump-dependent. Then, we address the pricing of Lizard Option under the Variance Gamma model, based on the risk neutral modelling.

Details

Title
A New Type of Barrier Options: Lizard Option
Author
Kawanishi, Yasuhiro
Pages
75-86
Publication year
2015
Publication date
2015
Publisher
Springer Nature B.V.
ISSN
13872834
e-ISSN
15736946
Source type
Scholarly Journal
Language of publication
English
ProQuest document ID
1651310984
Copyright
Springer Japan 2015