ScholarWorks@경상국립대학교

초록

Power options are derivatives whose payoffs involve a powerof the underlying asset price. They are important instruments with broadpotential applications in financial markets, including equity-indexed annuities. However, much of the existing literature assumes constant volatility,which tends to deviate from real financial market behavior. To addressthis limitation, we price power options under a hybrid volatility structurethat combines local and stochastic volatility

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