Monotonicity of implied volatility for perpetual put options
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Publication:6198979
DOI10.1017/JPR.2023.36OpenAlexW4381167654MaRDI QIDQ6198979
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
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- 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
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