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 freeboundary 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
BATTAUZ, ANNA;SBUELZ, ALESSANDRO
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 freeboundary of the American call and the free boundary of the symmetric American put
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