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Should an American option be exercised earlier or later if volatility is not assumed to be a constant?

Journal Article


Abstract


Publication Date


  • 2011

Citation


  • 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.

Scopus Eid


  • 2-s2.0-84862909222

Ro Metadata Url


  • http://ro.uow.edu.au/infopapers/2623

Has Global Citation Frequency


Number Of Pages


  • 18

Start Page


  • 1279

End Page


  • 1297

Volume


  • 14

Issue


  • 8

Place Of Publication


  • Singapore

Abstract


Publication Date


  • 2011

Citation


  • 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.

Scopus Eid


  • 2-s2.0-84862909222

Ro Metadata Url


  • http://ro.uow.edu.au/infopapers/2623

Has Global Citation Frequency


Number Of Pages


  • 18

Start Page


  • 1279

End Page


  • 1297

Volume


  • 14

Issue


  • 8

Place Of Publication


  • Singapore