Fig. 19From: Early exercise premium method for pricing American options under the J-model Δ Heston ‐ am as a function of moneyness, for various values of the volatility, with parameters values: K = 100, τ =0.5, σ = 10%, r = 5%, Q = 5%, (λ = −1.6, θ = 0.769). (v = 0.01; κ = 2; φ = 0.01 and ρ = − 0.5)Back to article page