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by ThankYou
June 16th, 2008, 6:51 am
Forum: Student Forum
Topic: Intuitive early exercise
Replies: 3
Views: 53132

Intuitive early exercise

<t>Hi,I wonder if anyone could clarify why the american call (no divs) is equal to the european call, ie why isn't there any optimal early exercise time ?I can see taht from a mathematical point of vue, but not really from intuition and market feeling.I read an interesting appraoch in Taleb's book "...
by ThankYou
April 20th, 2008, 7:59 pm
Forum: Student Forum
Topic: mean reverting vol SABR
Replies: 12
Views: 61038

mean reverting vol SABR

thanks alan !i'll go and check on your book
by ThankYou
April 20th, 2008, 12:22 pm
Forum: Student Forum
Topic: mean reverting vol SABR
Replies: 12
Views: 61038

mean reverting vol SABR

hi everyonei'm wondering if a mean reverting vol SABR model exists (i mean, with a closed form solution as the standard SABR)can anyone provide me with relevant references if they exist ?Thanks !!