For the American put-call option symmetry in the Heston (1993) model, we provide a new and simple proof that is easily accessible to the general finance readership. We also characterize the link between the free-boundary of the American call and the free-boundary of the symmetric American put.
The put-call symmetry for American options in the Heston stochastic volatility model / A., Battauz; DE DONNO, Marzia; A., Sbuelz. - In: MATHEMATICAL FINANCE LETTERS. - ISSN 2051-2929. - 2014:(2014).
The put-call symmetry for American options in the Heston stochastic volatility model
DE DONNO, Marzia;
2014-01-01
Abstract
For the American put-call option symmetry in the Heston (1993) model, we provide a new and simple proof that is easily accessible to the general finance readership. We also characterize the link between the free-boundary of the American call and the free-boundary of the symmetric American put.File in questo prodotto:
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