Monotonicity of implied volatility for perpetual put options

DOI10.1017/JPR.2023.36OpenAlexW4381167654MaRDI QIDQ6198979

Unnamed Author, Erik Ekström

Publication date: 23 February 2024

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2023.36

zbMATH Keywords

American optionsimplied volatilityvolatility skew

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Recovering a time-homogeneous stock price process from perpetual option prices
• Properties of game options
• On the properties of \(r\)-excessive mappings for a class of diffusions
• Computing the implied volatility in stochastic volatility models
• Asymptotics and calibration of local volatility models
• Financial Modelling with Jump Processes
• Malliavin Calculus in Finance
• SHORT-TIME IMPLIED VOLATILITY IN EXPONENTIAL LÉVY MODELS

This page was built for publication: Monotonicity of implied volatility for perpetual put options