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

DOI10.1142/S0219024911006851MaRDI QIDQ3225029zbMATH OpenFDO

Authors 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 methodHeston modelperpetual American put options

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A Simple Proof of Rolle's Theorem for Finite Fields
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A new analytical approximation for European puts with stochastic volatility
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• A spectral-collocation method for pricing perpetual American puts with stochastic volatility
• An exact and explicit solution for the valuation of American put options
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Multiscale Stochastic Volatility Asymptotics
• Perpetual American Options Under Lévy Processes
• Pricing Perpetual Fund Protection with Withdrawal Option
• Randomization and the American put
• Stochastic Volatility Effects on Defaultable Bonds
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• Two singular diffusion problems

Cited in

(4)

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

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