We extend to the Heston stochastic volatility framework the parity result of McDonald and Schroder (1998) for American call and put options.
Sbuelz, A., Battauz, A., De, D., The put-call symmetry for American options in the Heston stochastic volatility model, <<The put-call symmetry for American options in the Heston stochastic volatility model>>, 2014; (N/A): 1-7 [http://hdl.handle.net/10807/58934]
The put-call symmetry for American options in the Heston stochastic volatility model
Sbuelz, Alessandro;
2014
Abstract
We extend to the Heston stochastic volatility framework the parity result of McDonald and Schroder (1998) for American call and put options.
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