On regularity of finite-maturity American put options in the Heston model

Khai Nguyen and Huy Chau

Papers from arXiv.org

Abstract: This paper studies the regularity of finite-maturity American value functions in the Heston model. Although the Heston operator is degenerate when the volatility is zero, we are able to establish C^{1,2} regularity of the American value functions in the exercise domain and the smooth-fit principle, using PDE techniques.

Date: 2026-06
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