An analytic approximation for valuation of the American option under the Heston model in two regimes
Junkee Jeon, Jeonggyu Huh, Kyunghyun Park
| Year of publication: |
2020
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|---|---|
| Authors: | Jeon, Junkee ; Huh, Jeonggyu ; Park, Kyunghyun |
| Subject: | American option | Heston model | Singular perturbation | Maturity randomization | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09939-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012272044