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/S0219024911006851zbMATH Open1233.91292MaRDI QIDQ3225029FDOQ3225029
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)
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Cites Work
- Two singular diffusion problems
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Title not available (Why is that?)
- Title not available (Why is that?)
- Multiscale Stochastic Volatility Asymptotics
- Stochastic Volatility Effects on Defaultable Bonds
- An exact and explicit solution for the valuation of American put options
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- Perpetual American Options Under Lévy Processes
- Randomization and the American put
- THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
- MEAN-REVERTING STOCHASTIC VOLATILITY
- Pricing Perpetual Fund Protection with Withdrawal Option
- A spectral-collocation method for pricing perpetual American puts with stochastic volatility
- A new analytical approximation for European puts with stochastic volatility
- A Simple Proof of Rolle's Theorem for Finite Fields
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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