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 |
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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