Volatility can be detrimental to option values!

DOI10.1016/J.ECONLET.2016.10.001zbMATH Open1398.91591OpenAlexW3124341607MaRDI QIDQ1668616FDOQ1668616

Authors: Hamed Ghoddusi, Arash Fahim 

Publication date: 29 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.10.001

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zbMATH Keywords

volatilityhitting probabilitydigital optionsnon-monotone option value

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Cited In (1)

• Valuation of mortgage interest deductibility under uncertainty: an option pricing approach

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