The valuation of knock-out power calls under Black-Scholes framework

• Main Authors: Sawal, A. S., Ibrahim, S. N. I., Laham, M. F.
• Format: Article
• Published: Lviv Polytechnic National University 2022
• Online Access: http://psasir.upm.edu.my/id/eprint/102461/; https://science.lpnu.ua/mmc/all-volumes-and-issues/volume-9-number-1-2022/valuation-knock-out-power-calls-under-black
• Institution: Universiti Putra Malaysia

Knock-out power calls are options that incorporate barriers to the valuation of power calls. Introducing barriers to power calls reduces the costs to hold power calls which are known to have higher leverage than the standard vanillas. In this paper, we model the valuation of knock-out power calls...