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; M. De Donno; 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

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.
The put-call symmetry for American options in the Heston stochastic volatility model / A. Battauz; M. De Donno; A. Sbuelz. - In: MATHEMATICAL FINANCE LETTERS. - ISSN 2051-2929. - 2014(2014).
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11381/2761404
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