Integral representation of vega for American put options
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- 作者：Yanchu Liua ; liuych26@mail.sysu.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Zhenyu Cuib ; zcui6@stevens.edu" class="auth_mail" title="E-mail the corresponding author ; Ning Zhang ; c ; d ; zn928@naver.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：American put options ; Vega ; Exercise boundary ; Integral equation
- 刊名：Finance Research Letters
- 出版年：2016
- 出版时间：November 2016
- 年：2016
- 卷：19
- 期：Complete
- 页码：204-208
- 全文大小：358 K
文摘
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An incorrect formula on vega in an influential published paper is found.
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The substantial missing term is pointed out and the correct formula is presented.
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Implementation procedure for the correct formula is discussed.