The put-call symmetry for American options in the Heston stochastic volatility model

Alessandro Sbuelz, Anna Battauz, De Donno

Research output: Working paper

Abstract

We extend to the Heston stochastic volatility framework the parity result of McDonald and Schroder (1998) for American call and put options.
Original languageEnglish
Number of pages7
Publication statusPublished - 2014

Keywords

  • Heston model, American options, put-call symmetry, free-boundary

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