For the American put-call option symmetry in the Heston (1993) model, we provide a new and simple proof that is easily accessible to the general finance readership. We also characterize the link between the freeboundary of the American call and the free boundary of the symmetric American put.
Sbuelz, A., Battauz, A., De Donno, M., The put-call symmetry for American options in the Heston stochastic volatility model, <<MATHEMATICAL FINANCE LETTERS>>, 2014; 2014:7 (N/A): 1-8 [http://hdl.handle.net/10807/59975]
The put-call symmetry for American options in the Heston stochastic volatility model
Sbuelz, Alessandro;De Donno, Marzia
2014
Abstract
For the American put-call option symmetry in the Heston (1993) model, we provide a new and simple proof that is easily accessible to the general finance readership. We also characterize the link between the freeboundary of the American call and the free boundary of the symmetric American put.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
BattauzDeDonnoSbuelz MFL 2014 THE PUT-CALL SYMMETRY FOR AMERICAN OPTIONS IN THE HESTON.pdf
accesso aperto
Descrizione: Articolo principale
Licenza:
Creative commons
Dimensione
140.37 kB
Formato
Adobe PDF
|
140.37 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
