Volatility can be detrimental to option values!

DOI10.1016/J.ECONLET.2016.10.001MaRDI QIDQ1668616zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• The Valuation of Volatility Options
• American options exercise boundary when the volatility changes randomly
• Properties of American volatility options in the mean-reverting 3/2 volatility model
• American options under uncertain volatility
• MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES

Cited in

(1)

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

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