Spiking the Volatility Punch

DOI10.1080/1350486X.2021.1893196zbMath1466.91329OpenAlexW3143731149MaRDI QIDQ4994679

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 optionsVIXexercise boundaryvolatility modellingSPIKES

Mathematics Subject Classification ID

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• The VIX, the variance premium and stock market volatility
• THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS

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