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.File in questo prodotto:
File | Dimensione | Formato | |
---|---|---|---|
american-parity-heston-july4.pdf
accesso aperto
Descrizione: working paper
Dimensione
127.7 kB
Formato
Adobe PDF
|
127.7 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.