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Should an American option be exercised earlier or later if volatility is not assumed to be a constant?
Song-Ping Zhu, University of WollongongFollow Wenting Chen, University of WollongongFollow
Journal Article
Zhu, S. & Chen, W. (2011). Should an American option be exercised earlier or later if volatility is not assumed to be a constant?. International Journal of Theoretical and Applied Finance, 14 (8), 1279-1297.
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Publication Details
Zhu, S. & Chen, W. (2011). Should an American option be exercised earlier or later if volatility is not assumed to be a constant?. International Journal of Theoretical and Applied Finance, 14 (8), 1279-1297.