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An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes

Published Online: 2019-10-22

Published Print: 2020-08

Authors

Jeon, Junkee

Huh, Jeonggyu

Park, Kyunghyun https://orcid.org/0000-0002-0446-7797
Funding

Funding for this research was provided by:

National Research Foundation of Korea (NRF-2017R1C1B1001811, NRF-2016H1A2A1908911)
License Information

Text and Data Mining valid from 2019-10-22

Version of Record valid from 2019-10-22
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Article History

Accepted: 11 October 2019

First Online: 22 October 2019

Document is current