TY - JOUR
T1 - Integral representation of vega for American put options
AU - Liu, Yanchu
AU - Cui, Zhenyu
AU - Zhang, Ning
N1 - Publisher Copyright:
© 2016 Elsevier Inc.
PY - 2016/11/1
Y1 - 2016/11/1
N2 - There is an inaccurate formula in Huang et al. (1996). In fact, a substantial term is missing in their equation (14) for computing the value of an important option hedging parameter, i.e., the vega. We fix it in this note by providing its correct form and characterizing an associated (new) integral equation. Some related explanations and arguments are also corrected.
AB - There is an inaccurate formula in Huang et al. (1996). In fact, a substantial term is missing in their equation (14) for computing the value of an important option hedging parameter, i.e., the vega. We fix it in this note by providing its correct form and characterizing an associated (new) integral equation. Some related explanations and arguments are also corrected.
KW - American put options
KW - Exercise boundary
KW - Integral equation
KW - Vega
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U2 - 10.1016/j.frl.2016.07.013
DO - 10.1016/j.frl.2016.07.013
M3 - Article
AN - SCOPUS:84994096927
SN - 1544-6123
VL - 19
SP - 204
EP - 208
JO - Finance Research Letters
JF - Finance Research Letters
ER -