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; zbMATH DE number 6014432
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? |
scientific article; zbMATH DE number 6014432 |
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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0.77372295
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0.7565242
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0.7420117
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0.73559105
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0.7344055
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0.7334199
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0.7332629
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0.73325557
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0.73275614
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