haku: @indexterm VALUATION / yhteensä: 677
viite: 225 / 677
| Tekijä: | Detemple, J. Osakwe, C. |
| Otsikko: | The valuation of volatility options |
| Lehti: | European Finance Review
2000 : VOL. 4:1, p. 21-50 |
| Asiasana: | OPTIONS VALUATION VOLATILITY |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the valuation of European- and American-style volatility options based on a general equilibrium stochastic volatility framework. Properties of the optimal exercise region and of the option price are provided when volatility follows a general diffusion process. Explicit valuation formulas are derived in four particular cases. Emphasis is placed on the MRLP (mean-reverting in the log) volatility model which has received considerable support. In this context the authors examine the properties and hedging behavior of volatility options. |
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