Yerkin Kitapbayev, NC State, American Options Pricing Under Stochastic Volatility Models via Picard Iterations
Daniels 371This paper studies the valuation of American options for a general one-factor stochastic volatility model. Using the local time-space calculus on surfaces we derive an early exercise premium representation for the option price, parametrized by the optimal exercise surface. The exercise surface is the unique solution to an integral equation of Volterra type. The paper…