Volatility time and properties of option prices

46 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Bubbles, convexity and the Black–Scholes equation (2009, background): “Finally, the monotonicity in volatility stated in the theorem follows from the approximation argument above and the corresponding monotonicity in the bubblefree case; see for instance [16].”
On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems (2007, background): “A general result comes from these papers: the value function is convex if either • δ is constant, that is, (e−(r−δ)tXt )t≥0 is a local martingale [9], [18], [11], [7], or • xδ(x) is nondecreasing and e−rtXt converges to 0 in L1 (see [1, Corollary 1]).”
Properties of American option prices (2004, background): “The idea by Janson and Tysk [10] is, given a speci5c Brownian motion B with B0 = x0, to ?nd a time change "(t) so that Xt := B"(t) is a solution to”