Perpetual American strangle options (PASOs) offer investors a method for minimizing risk during highly volatile market scenarios by allowing them to buy or sell options at any date without an expiration date. In a new study, researchers investigated the pricing of PASOs under a stochastic volatility model with fast mean reversion which better captures real markets compared to traditional models. Perpetual American strangle options (PASOs) offer investors a method for minimizing risk during highly volatile market scenarios by allowing them to buy or sell options at any date without an expiration date. In a new study, researchers investigated the pricing of PASOs under a stochastic volatility model with fast mean reversion which better captures real markets compared to traditional models. Mathematics Economics & Business Phys.org – latest science and technology news stories
Researchers develop precise pricing formula for perpetual American strangle options
