3 papers
q-fin.PR2021
Perpetual callable American volatility options in a mean-reverting volatility model
Hsuan-Ku Liu
This paper investigates problems associated with the valuation of callable American volatility put options. Our approach involves modeling volatility dynamics as a mean-reverting 3…
q-fin.PR2013
The pricing formula for cancellable European options
Hsuan-Ku Liu
This paper examines the value of a cancellable European option in a finite time horizon setting. The specifications of this generalized European option allow the seller to cancel t…
q-fin.CP2013
The Convexity of the Free Boundary for the American put option
Hsuan-Ku Liu
This paper studies the parabolic free boundary problem arising from pricing American-style put options on an asset whose index follows a geometric Brownian motion process. The cont…