Should an American option be exercised earlier or later if volatility is not assumed to be a constant?
Song-ping Zhu and Wen-ting Chen
| Year of publication: |
2011
|
|---|---|
| Authors: | Zhu, Song-ping ; Chen, Wen-ting |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 8, p. 1279-1297
|
| Subject: | Perturbation method | perpetual American put options | Heston model | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009541996