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We generalize earlier results on barrier options for puts and calls and log-normal stock processes to general local volatility models and convex contracts. We show that Γ ≥ 0, that Δ has a unique sign and that the option price is increasing with the volatility for convex contracts in the...
Persistent link: https://www.econbiz.de/10005050519
convexity and efficient set characterization results on SD efficiency of a given portfolio relative to a diversified set of …
Persistent link: https://www.econbiz.de/10010562370