Skip to main content
placeholder image

Integral Equation Formulation For Shout Options

Journal Article


Abstract


  • We use an integral equation formulation approach to value shout options, which are exotic options giving an investor the ability to "shout" and lock in profits while retaining the right to benefit from potentially favourable movements in the underlying asset price. Mathematically, the valuation is a free boundary problem involving an optimal exercise boundary which marks the region between shouting and not shouting. We also find the behaviour of the optimal exercise boundary for one- and two-shout options close to expiry.

Publication Date


  • 2018

Citation


  • Mallier, R. & Goard, J. (2018). Integral Equation Formulation For Shout Options. ANZIAM Journal, 60 (1), 65-85.

Scopus Eid


  • 2-s2.0-85052606172

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers1/1821

Number Of Pages


  • 20

Start Page


  • 65

End Page


  • 85

Volume


  • 60

Issue


  • 1

Place Of Publication


  • United Kingdom

Abstract


  • We use an integral equation formulation approach to value shout options, which are exotic options giving an investor the ability to "shout" and lock in profits while retaining the right to benefit from potentially favourable movements in the underlying asset price. Mathematically, the valuation is a free boundary problem involving an optimal exercise boundary which marks the region between shouting and not shouting. We also find the behaviour of the optimal exercise boundary for one- and two-shout options close to expiry.

Publication Date


  • 2018

Citation


  • Mallier, R. & Goard, J. (2018). Integral Equation Formulation For Shout Options. ANZIAM Journal, 60 (1), 65-85.

Scopus Eid


  • 2-s2.0-85052606172

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers1/1821

Number Of Pages


  • 20

Start Page


  • 65

End Page


  • 85

Volume


  • 60

Issue


  • 1

Place Of Publication


  • United Kingdom