Spiking the Volatility Punch

DOI10.1080/1350486X.2021.1893196MaRDI QIDQ4994679zbMATH OpenOpenAlexFDO

Authors Peter Carr, Gianna Figà-Talamanca

Publication date 21 June 2021

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

Full work available at URL https://doi.org/10.1080/1350486x.2021.1893196

zbMATH Keywords

American optionsexercise boundarySPIKESVIXvolatility modelling

Mathematics Subject Classification ID

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

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Cites work

• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
• The pricing of options and corporate liabilities
• The VIX, the variance premium and stock market volatility

Cited in

(2)

• Option pricing in a sentiment-biased stochastic volatility model
• A simple expected volatility (SEV) index: Application to SET50 index options

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