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Homeen-gbVolatility risk structure for options depending on extremaIn this paper, the authors give a decomposition formula to calculate the vega index (sensitivity with respect to changes in volatility) for options with prices that depend on the extrema (maximum or minimum) and terminal value of the underlying stock price; this is assumed to follow a one-dimensional perturbed diffusion process.
https://www.risk.net/journal-of-computational-finance/5363836/volatility-risk-structure-for-options-depending-on-extrema
https://www.risk.net/journal-of-computational-finance/5363836/volatility-risk-structure-for-options-depending-on-extrema
Wed, 29 Nov 2017 12:29:04 +0000