3 papers
q-fin.MF2026
On regularity of finite-maturity American put options in the Heston model
Khai Nguyen, Huy Chau
This paper studies the regularity of finite-maturity American value functions in the Heston model. Although the Heston operator is degenerate when the volatility is zero, we are ab…
q-fin.PR2026
A general framework for pricing and hedging under local viability
Huy N. Chau, Miklos Rasonyi
In this paper, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in c…
q-fin.PR2025
On short-time behavior of implied volatility in a market model with indexes
Huy N. Chau, Duy Nguyen, Thai Nguyen
This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking p…