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math.PR2019
Option prices in stochastic volatility models
Giulia Terenzi
In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the…
math.PR2019
Properties of the American price function in the Heston-type models
Damien Lamberton, Giulia Terenzi
We study some properties of the American option price in the stochastic volatility Heston model. We first prove that, if the payoff function is convex and satisfies some regularity…