Detemple, Jérôme B.; Osakwe, Carlton - Centre Interuniversitaire de Recherche en Analyse des … - 1999
This paper examines the valuation of European- and American-style volatility options based on a general equilibrium … we examine the properties and hedging behavior of volatility options. Unlike American options, European call options on … volatility are found to display concavity at high levels of volatility. Cet article examine l'évaluation des options sur …