Short Positions, Rally Fears and Option Markets

DOI10.1080/13504860903075688zbMath1229.91303OpenAlexW3123943107MaRDI QIDQ3565100

Dilip B. Madan, Ernst Eberlein

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

zbMATH Keywords

implied volatility smilesspectrally negative processestwo-sided exit problems

Mathematics Subject Classification ID

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

Related Items (5)

Asian Options Under One-Sided Lévy Models ⋮ Computation of Greeks for asset price dynamics driven by stable and tempered stable processes ⋮ SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS ⋮ Refracted Lévy processes ⋮ The value of power-related options under spectrally negative Lévy processes

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Option pricing using variance gamma Markov chains
• Post-'87 crash fears in the S\&P 500 futures option market
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• SELF-DECOMPOSABILITY AND OPTION PRICING

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