Volatility risk structure for options depending on extrema

研究成果: Article査読

1 被引用数 (Scopus)

抄録

In this paper, we 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. As a numerical application, we compute the vega index for lookback, European and up-in call options under the Black-Scholes model perturbed with a constant elasticity of variance modeltype perturbation. We compare these values with the standard nonperturbed Black-Scholes model, which, interestingly, turn out to be very different.

本文言語English
ページ(範囲)105-122
ページ数18
ジャーナルJournal of Computational Finance
21
3
DOI
出版ステータスPublished - 2017 12

ASJC Scopus subject areas

  • 財務
  • コンピュータ サイエンスの応用
  • 応用数学

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