Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model

DOI10.1137/130924573zbMath1395.91457OpenAlexW1996272694MaRDI QIDQ5250037

Hsuan-Ku Liu

Publication date: 15 May 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130924573

zbMATH Keywords

American optionsearly exercise boundaryvolatility option

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Finite-horizon optimal consumption and investment problem with a preference change ⋮ On the pricing formula for the perpetual American volatility option under the mean-reverting processes ⋮ Finite horizon portfolio selection problems with stochastic borrowing constraints

Cites Work

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• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
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• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Optimal exercise boundary for an American put option
• A Free Boundary Problem Connected with the Optimal Stopping Problem for Diffusion Processes
• American options on assets with dividends near expiry

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