SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
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Publication:3225029
DOI10.1142/S0219024911006851zbMath1233.91292MaRDI QIDQ3225029
Publication date: 13 March 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Related Items (3)
Optimal switching decisions under stochastic volatility with fast mean reversion ⋮ The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach ⋮ Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
Cites Work
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