Volatility can be detrimental to option values!

DOI10.1016/J.ECONLET.2016.10.001zbMath1398.91591OpenAlexW3124341607MaRDI QIDQ1668616

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

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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