Volatility can be detrimental to option values!
type: Item
instance of: scholarly article
title: Volatility can be detrimental to option values!
zbMATH Open document ID: 1398.91591
author: Hamed Ghoddusi
author: Arash Fahim
published in: Economics Letters
publication date: 2018-08-29T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 6928508
zbMATH Keywords: digital options
zbMATH Keywords: hitting probability
zbMATH Keywords: volatility
zbMATH Keywords: non-monotone option value
MaRDI profile type: Publication
full work available at URL: j.econlet.2016.10.001
OpenAlex ID: W3124341607
DOI: 10.1016/J.ECONLET.2016.10.001
description: scientific article; zbMATH DE number 6928508