Add to ORKGFor 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
We consider Heston's (1993) stochastic volatility model for valuation of European options to which (...
In this thesis, we consider the pricing problem of an American put option. We introduce a new market...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
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 ...
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...
The model presents the valuation of an American Put option by using a duplicating portfolio consisti...
The Nobel Prize-winning the Black-Scholes Model for stock option pricing has a simple formula to cal...
Classic put-call symmetry relates the prices of puts and calls at strikes on opposite sides of the f...
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdad...
The value of an American option depends on the information that the holder will acquire over the opt...
Stochastic volatility models on option pricing have received much study following the discovery of t...
Heston’s stochastic volatility model is frequently employed by finance researchers and practitioners...
We consider Heston's (1993) stochastic volatility model for valuation of European options to which (...
In this thesis, we consider the pricing problem of an American put option. We introduce a new market...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
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 ...
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...
The model presents the valuation of an American Put option by using a duplicating portfolio consisti...
The Nobel Prize-winning the Black-Scholes Model for stock option pricing has a simple formula to cal...
Classic put-call symmetry relates the prices of puts and calls at strikes on opposite sides of the f...
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdad...
The value of an American option depends on the information that the holder will acquire over the opt...
Stochastic volatility models on option pricing have received much study following the discovery of t...
Heston’s stochastic volatility model is frequently employed by finance researchers and practitioners...
We consider Heston's (1993) stochastic volatility model for valuation of European options to which (...
In this thesis, we consider the pricing problem of an American put option. We introduce a new market...
The virtue of an American option is that it can be exercised at any time. This right is particularly...