Commun. Korean Math. Soc. 2024; 39(2): 535-546
Online first article April 23, 2024 Printed April 30, 2024
https://doi.org/10.4134/CKMS.c230148
Copyright © The Korean Mathematical Society.
Wonjoong Kim, JINYOUNG LEE
Korea University; Korea University
We consider chooser options written on various underlying assets other than vanilla call and put options. Specifically, we deal with (i) the chooser option written on the power call and put options, and (ii) the chooser option written on the exchange options. We provide explicit formulas for the prices of these chooser options whose underlying assets are either power options or exchange options, rather than the vanilla call and put options.
Keywords: Chooser option, power option, exchange option, chooser power option, chooser exchange option
MSC numbers: Primary 91G20
2017; 32(2): 467-477
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