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Numrering	Referens	Omslagsbild	Hitta
1.	Eriksson, Jonatan (författare) Monotonicity in the volatility of single-barrier option prices 2006 Ingår i: International Journal of Theoretical and Applied Finance. - 0219-0249. ; 9:6, s. 987-996 Tidskriftsartikel (refereegranskat)abstract 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 following cases: If the risk-free rate of return dominates the dividend rate, then it holds for up-and-out options if the contract function is zero at the barrier and for down-and-in options in general. If the risk-free rate of return is dominated by the dividend rate, then it holds for down-and-out options if the contract function is zero at the barrier and for up-and-in options in general. We apply our results to show that a hedger who misspecifies the volatility using a time-and-level dependent volatility will super-replicate any claim satisfying the above conditions if the misspecified volatility dominates the true (possibly stochastic) volatility almost surely.

Eriksson, Jonatan (författare)
Monotonicity in the volatility of single-barrier option prices
2006
Ingår i: International Journal of Theoretical and Applied Finance. - 0219-0249. ; 9:6, s. 987-996
Tidskriftsartikel (refereegranskat)abstract
- 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 following cases: If the risk-free rate of return dominates the dividend rate, then it holds for up-and-out options if the contract function is zero at the barrier and for down-and-in options in general. If the risk-free rate of return is dominated by the dividend rate, then it holds for down-and-out options if the contract function is zero at the barrier and for up-and-in options in general. We apply our results to show that a hedger who misspecifies the volatility using a time-and-level dependent volatility will super-replicate any claim satisfying the above conditions if the misspecified volatility dominates the true (possibly stochastic) volatility almost surely.

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