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- W3122034282 abstract "There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. In particular, we introduce a new pricing formula which can be used to price more general options if prices for call options and digital options are known for every strike price. Moreover, we derive similar results for barrier type options. As a consequence, we obtain a static hedging for general options in the general class of models. Our result can be utilised in several significant applications. As a simple example, we derive an upper bound for the value of a general American option with convex payoff and characterise conditions under which the value of this option equals to the value of the corresponding European option." @default.
- W3122034282 created "2021-02-01" @default.
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- W3122034282 date "2012-08-01" @default.
- W3122034282 modified "2023-09-27" @default.
- W3122034282 title "Option prices with call prices" @default.
- W3122034282 hasPublicationYear "2012" @default.
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