Perpetual callable American volatility options in a mean-reverting volatility model
Pricing of Securities
2021-04-05 v1
Abstract
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.
Cite
@article{arxiv.2104.01127,
title = {Perpetual callable American volatility options in a mean-reverting volatility model},
author = {Hsuan-Ku Liu},
journal= {arXiv preprint arXiv:2104.01127},
year = {2021}
}