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

Alessandro Sbuelz; Anna Battauz; Marzia De Donno

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

Alessandro Sbuelz, Anna Battauz, Marzia De Donno

Risultato della ricerca: Contributo in rivista › Articolo in rivista › peer review

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.

Lingua originale	English
pagine (da-a)	1-8
Numero di pagine	8
Rivista	MATHEMATICAL FINANCE LETTERS
Volume	2014:7
Stato di pubblicazione	Pubblicato - 2014

Keywords

American options
change of numeraire.
free-boundary
put-call symmetry
stochastic volatility

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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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AU - Battauz, Anna

AU - De Donno, Marzia

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KW - American options

KW - change of numeraire.

KW - free-boundary

KW - put-call symmetry

KW - stochastic volatility

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KW - change of numeraire.

KW - free-boundary

KW - put-call symmetry

KW - stochastic volatility

UR - http://hdl.handle.net/10807/59975

UR - http://scik.org/index.php/mfl/article/view/1840

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

Abstract

Keywords

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