SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? (Q3225029)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? |
scientific article |
Statements
SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? (English)
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13 March 2012
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perturbation method
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perpetual American put options
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Heston model
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