# Perpetual callable American volatility options in a mean-reverting volatility model

**Authors:** Hsuan-Ku Liu  
**arXiv:** [2104.01127](https://arxiv.org/abs/2104.01127)  
**Date:** 2021-04-02  
**Summary page:** https://www.summarizepaper.com/fr/paper/2104.01127v1/

## Abstract

This paper investigates problems associated with the valuation of callable American volatility put options. Our approach involves modeling volatility dynamics as a mean-reverting 3/2 volatility process. We first propose a pricing formula for the perpetual American knock-out put. Under the given conditions, the value of perpetual callable American volatility put options is discussed.