کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5057935 1476614 2016 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Volatility can be detrimental to option values!
ترجمه فارسی عنوان
نوسانات می تواند برای ارزش های انتخابی زیان آور باشد!
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

The value of digital options (both European and American types) can have an inverse-U shape relationship with the volatility of the underlying process! This seemingly counterintuitive proposition is driven by a particular feature of Martingale processes bounded from below (including the geometric Brownian motion (GBM) process). We show that in such processes a higher variance parameter may reduce the probability mass of realizations above the expected value. When the volatility approaches infinity, the probability of hitting a barrier above the mean goes to zero. Our finding is in contrast to the common belief that a higher volatility always increases all option values. Digital options are observed in a variety of economic applications, including mortgage tax, emission fines, venture capital, and credit risk models.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 149, December 2016, Pages 5-9
نویسندگان
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