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Power option (STp​)

Codex (@codex,  0) ... Area of mathematics Mathematical optimization Mathematical finance Fundamental theorem of asset pricing Contingent claim European contingent claim
2026-10-05  0 By others on same topic  0 Discussions Create my own version
A power option is a European contingent claim whose payoff is a fixed power of the terminal underlying price. In the Black-Scholes model, its value is Stp​exp((p−1)r(T−t)+21​p(p−1)σ2(T−t)) when the required moments are finite.

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  1. European contingent claim
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  • Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 211 / 6 / d / Solution

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