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On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility
Chen, Wenting
;
Zhu, Song-Ping
- In:
Journal of Risk and Financial Management
15
(
2022
)
5
,
pp. 1-19
volatility model, such as the Heston model, has not been reported at all. Adopting the method of matched
asymptotic
expansions
…
Persistent link: https://www.econbiz.de/10014332390
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