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

Alessandro Sbuelz; Anna Battauz; Donno De

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

Alessandro Sbuelz
, Anna Battauz
, Donno De

Risultato della ricerca: Working paper › Documento di lavoro

Abstract

We extend to the Heston stochastic volatility framework the parity result of McDonald and Schroder (1998) for American call and put options.

Lingua originale	Inglese
Numero di pagine	7
Stato di pubblicazione	Pubblicato - 2014

Keywords

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

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abstract = "We extend to the Heston stochastic volatility framework the parity result of McDonald and Schroder (1998) for American call and put options.",

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AU - Battauz, Anna

AU - De, Donno

PY - 2014

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N2 - We extend to the Heston stochastic volatility framework the parity result of McDonald and Schroder (1998) for American call and put options.

AB - We extend to the Heston stochastic volatility framework the parity result of McDonald and Schroder (1998) for American call and put options.

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

UR - http://hdl.handle.net/10807/58934

M3 - Working paper

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

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

Abstract

Keywords

Altri file e collegamenti

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