Short positions, rally fears and option markets

DOI10.1080/13504860903075688zbMATH Open1229.91303OpenAlexW3123943107MaRDI QIDQ3565100FDOQ3565100

Authors: Ernst Eberlein, Dilip B. Madan 

Publication date: 27 May 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903075688

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zbMATH Keywords

implied volatility smilesspectrally negative processestwo-sided exit problems

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• Post-'87 crash fears in the S\&P 500 futures option market
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Option pricing using variance gamma Markov chains

Cited In (6)

• SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS
• The value of power-related options under spectrally negative Lévy processes
• Post-'87 crash fears in the S\&P 500 futures option market
• Asian options under one-sided Lévy models
• Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
• Refracted Lévy processes

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