SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?

DOI10.1142/S0219024911006851zbMath1233.91292MaRDI QIDQ3225029

Wen-Ting Chen, Song-Ping Zhu

Publication date: 13 March 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

perturbation method; Heston model; perpetual American put options

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

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Optimal switching decisions under stochastic volatility with fast mean reversion, Pricing perpetual American options under a stochastic-volatility model with fast mean reversion, The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach

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