RIS ID
137149
Link to publisher version (URL)
Abstract
Shout call options are exotic options that give the investor the ability to 'shout' during the life of the option, thus locking in a profit and resetting the strike price to the prevailing spot price. We look at two approaches to value such options. The first approach makes use of canonical variables of the classical heat equation and results in a series solution. In the second approach an integral formulation is used, which can be more amenable to pricing when there is more than one 'shout' allowed.
COinS
Publication Details
Goard, J. (2019). Alternative Pricing Methods for Shout Call Options. Lecture Notes in Engineering and Computer Science, 2240 221-227. Proceedings of the World Congress on Engineering 2019 WCE 2019, July 3-5, 2019, London, U.K