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.
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Copyright © Anna Battauz, Marzia De Donno, Alessandro Sbuelz. This is an open access article distributed under the Creative Commons Attribution License (Attribution 3.0 Unported (CC BY 3.0) http://creativecommons.org/licenses/by/3.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/59975
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