Add to ORKGWe extend to the Heston stochastic volatility framework the parity result of McDonald and Schroder (1998) for American call and put options
We consider Heston's (1993) stochastic volatility model for valuation of European options to which (...
The value of an American option depends on the information that the holder will acquire over the opt...
The put call parity is based on a static portfolio argument that requires no distributional assumpti...
For the American put-call option symmetry in the Heston (1993) model, we provide a new and simple pr...
Copyright c © 2014 Battauz, Donno and Sbuelz. This is an open access article distributed under the C...
We study some properties of the American option price in the stochastic volatility Heston model. We ...
The Nobel Prize-winning the Black-Scholes Model for stock option pricing has a simple formula to cal...
Stochastic volatility models on option pricing have received much study following the discovery of t...
In this thesis, we consider the pricing problem of an American put option. We introduce a new market...
The model presents the valuation of an American Put option by using a duplicating portfolio consisti...
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdad...
We propose to discuss a new technique to derive an good approximated solution for the price of a Eur...
International audienceIt is well known that in models with time-homogeneous local volatility functio...
Heston’s stochastic volatility model is frequently employed by finance researchers and practitioners...
Classic put-call symmetry relates the prices of puts and calls at strikes on opposite sides of the f...
We consider Heston's (1993) stochastic volatility model for valuation of European options to which (...
The value of an American option depends on the information that the holder will acquire over the opt...
The put call parity is based on a static portfolio argument that requires no distributional assumpti...
For the American put-call option symmetry in the Heston (1993) model, we provide a new and simple pr...
Copyright c © 2014 Battauz, Donno and Sbuelz. This is an open access article distributed under the C...
We study some properties of the American option price in the stochastic volatility Heston model. We ...
The Nobel Prize-winning the Black-Scholes Model for stock option pricing has a simple formula to cal...
Stochastic volatility models on option pricing have received much study following the discovery of t...
In this thesis, we consider the pricing problem of an American put option. We introduce a new market...
The model presents the valuation of an American Put option by using a duplicating portfolio consisti...
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdad...
We propose to discuss a new technique to derive an good approximated solution for the price of a Eur...
International audienceIt is well known that in models with time-homogeneous local volatility functio...
Heston’s stochastic volatility model is frequently employed by finance researchers and practitioners...
Classic put-call symmetry relates the prices of puts and calls at strikes on opposite sides of the f...
We consider Heston's (1993) stochastic volatility model for valuation of European options to which (...
The value of an American option depends on the information that the holder will acquire over the opt...
The put call parity is based on a static portfolio argument that requires no distributional assumpti...