SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?

DOI10.1142/S0219024911006851zbMath1233.91292MaRDI QIDQ3225029

Wen-Ting Chen, Song-Ping Zhu

Publication date: 13 March 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

perturbation methodHeston modelperpetual American put options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Optimal switching decisions under stochastic volatility with fast mean reversion ⋮ The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach ⋮ Pricing perpetual American options under a stochastic-volatility model with fast mean reversion

Cites Work

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