Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model

DOI10.1137/130924573zbMath1395.91457OpenAlexW1996272694MaRDI QIDQ5250037

Hsuan-Ku Liu

Publication date: 15 May 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130924573

zbMATH Keywords

American optionsearly exercise boundaryvolatility option

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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