The put-call symmetry for American options in the Heston stochastic volatility model
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.
- Published
- 3 October 2014
- Volume
- 2014 (2014)
- License
- CC BY 3.0
Copyright © 2014 Anna Battauz, Marzia De Donno, Alessandro Sbuelz. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Cite this article
A. Battauz, M. De Donno, A. Sbuelz, The put-call symmetry for American options in the Heston stochastic volatility model, Math. Finance Lett. 2014 (2014), 7.
BibTeX
@article{Battauz2014,
author = {Battauz, Anna and De Donno, Marzia and Sbuelz, Alessandro},
title = {The put-call symmetry for American options in the Heston stochastic volatility model},
journal = {Math. Finance Lett.},
volume = {2014},
year = {2014},
pages = {7},
doi = {}
}