An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes
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DOI: 10.1007/s10614-019-09939-2
Abstract: This paper studies the valuation of the American call-option under the Heston model in two regimes, i.e., fast-mean reverting and slow-mean reverting regimes. In the case of the European-style option under the Heston model, a… read more here.
Keywords: valuation american; option heston; option; heston model ... See more keywords