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

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  • Khai Nguyen
  • Huy Chau

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.

Suggested Citation

  • Khai Nguyen & Huy Chau, 2026. "On regularity of finite-maturity American put options in the Heston model," Papers 2606.10191, arXiv.org.
    • Handle: RePEc:arx:papers:2606.10191
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    File URL: http://arxiv.org/pdf/2606.10191
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