Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

Simple Chooser Option Evaluation

Authors
Minghan Gao1, *, , Yifei Yu2,
1South Kent School, South Kent, 06785, South Kent, Connecticut, United States
2Vanke Meisha Academy, 518000, Shenzhen China

These authors contributed equally.

*Corresponding author. Email: harry_gao02@163.com, yuyifei@stu.vma.edu.cn
Corresponding Author
Minghan Gao
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.469How to use a DOI?
Keywords
call option; put option; exotic option; strike price; Black-Scholes Model; straddle
Abstract

Financial instruments traded in the markets and investors’ situations in such markets are becoming more complex. The paper examines the main aspects of options, emphasizing the variety of exotic options and their place in financial markets and the risk management process. As the exact valuation of exotic options is quite difficult, the article deals with the theoretical and practical aspects of pricing of chooser options that suggest a broad range of usage and application in different market conditions. It gives traders a generic view of European style vs American Style Options and simulates the Simple Black-Scholes Model. It is introduced with the simple example of the pricing of ‘European call options on a no-dividend stock, and the simulation results are compared with an analytical solution. The calculations made in this article showed the price of Apple Inc. (AAPL) at one-year maturity, and it is closely correlated with the chosen time and less correlated with its strike price. Finally, this paper introduces Chooser Options and provides a pricing spreadsheet. Chooser options give the investor the privilege of choosing whether the option is a put or a call at some predetermined date. Generally, the investor chooses the more valuable option.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
10.2991/assehr.k.211209.469
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.469How to use a DOI?
Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Minghan Gao
AU  - Yifei Yu
PY  - 2021
DA  - 2021/12/15
TI  - Simple Chooser Option Evaluation
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 2892
EP  - 2900
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.469
DO  - 10.2991/assehr.k.211209.469
ID  - Gao2021
ER  -