We propose a copositive relaxation framework to calculate both upper and lower bounds for prices of some European options with non-convex payoffs when first and second moments of underlying assets are known. Computational results shows that these upper and lower bounds are reasonably good for call options on the minimum of multiple assets and put options on the maximum of multiple assets.

This paper presents a number of new theoretical results for replication of barrier options through a static portfolio of European put and call options. Our results are valid for options with completely general knock-out/knock-in sets, and allow for timeand state-dependents volatility as well as discontinuous asset dynamics. We illustrate the theory with numerical examples and discuss the practi...

This study estimates the value of the early exercise premium in American put option prices using Swedish equity options data. The value of the premium is found as the deviation of the American put price from European put-call parity, and in addition a theoretical estimate of the premium is computed. The empirically found premium is also used in a modified version of the control variate approach...

In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black–Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the tail asymptotics for these option types fall into four scenarios.

Consider a model of a financial market with a stock driven by a Lévy process and constant interest rate. A closed formula for prices of perpetual American call options in terms of the overall supremum of the Lévy process, and a corresponding closed formula for perpetual American put options involving the infimum of the after-mentioned process are obtained. As a direct application of the previou...

In this article, we consider the small-time asymptotics of options on a Leveraged Exchange-Traded Fund (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both local volatility and jumps of either finite or infinite activity. Our main results are closed-form expressions for the leading order terms of off-the-money European call and put LETF option prices, near expiration, with explic...

* We are grateful for helpful comments from Salih Neftci. The comments of an anonymous referee were enormously beneficial. We are grateful for support from the Schweger Fund. Remaining errors are our own.

Tuenter considered centered binomial sums of the form Sr(n) = 2n ∑