2021/04/02 by Hsuan‐Ku Liu, Hsuan-Ku Liu, Liu, Hsuan-Ku
Economics, Econometrics and Finance · Social Sciences · #Callable bond #Econometrics #Economics #FOS: Economics and business #Finance #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Financial economics #Forward volatility #Implied volatility #Insurance, Mortality, Demography, Risk Management #Interest rate #Mean reversion #Monetary economics #Pricing of Securities (q-fin.PR) #SABR volatility model #Stochastic processes and financial applications #Stochastic volatility #Valuation (finance) #Valuation of options #Volatility (finance) #Volatility smile #Volatility swap #q-fin.PR
paper · pdf · doi:10.48550/arxiv.2104.01127
published in arXiv (Cornell University) (Cornell University)
arxiv created 2021/04/02 · openalex publication_date 2021/04/02 · arxiv updated 2021/04/05 · openalex created_date 2021/08/02 · openalex updated_date 2026/07/28
This paper investigates problems associated with the valuation of callable American volatility put options. Our approach involves modeling volatility dynamics as a mean-reverting 3/2 volatility process. We first propose a pricing formula for the perpetual American knock-out put. Under the given conditions, the value of perpetual callable American volatility put options is discussed.