0DTE Option Pricing
Capturing Volatility Dynamics: The market for ultra short-term zero days-to-expiry options has expanded, with a new pricing formula developed to account for factors like leverage and volatility-of-volatility.
Featured in No. 7 on 12 Jul 2023 · 5 days after release · 8 citations today
- Released
- 7 Jul 2023
- First featured
- No. 7 · 12 Jul 2023
- Citations (Semantic Scholar)
- 8
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4503344
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).