Volatility can be detrimental to option values! (Q1668616)

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Volatility can be detrimental to option values!
scientific article

    Statements

    title
    Volatility can be detrimental to option values! (English)
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    author
    Hamed Ghoddusi
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    Arash Fahim
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    publication date
    29 August 2018
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    zbMATH Keywords
    digital options
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    hitting probability
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    volatility
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    non-monotone option value
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    60G44
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    zbMATH DE Number
    6928508
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    OpenAlex ID
    W3124341607
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