Laplace transforms and the American straddle

Alobaidi, G.; Mallier, R.

J. Appl. Math., Tome 2 (2002) no. 8, p. 121-129 / Harvested from Project Euclid

Résumé

We address the pricing of American straddle options. We use partial Laplace transform techniques due to Evans et al. (1950) to derive a pair of integral equations giving the locations of the optimal exercise boundaries for an American straddle option with a constant dividend yield.

Publié le : 2002-05-14
Classification: 65R20

@article{1049075015,
     author = {Alobaidi, G. and Mallier, R.},
     title = {Laplace transforms and the American straddle},
     journal = {J. Appl. Math.},
     volume = {2},
     number = {8},
     year = {2002},
     pages = { 121-129},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1049075015}
}

Alobaidi, G.; Mallier, R. Laplace transforms and the American straddle. J. Appl. Math., Tome 2 (2002) no. 8, pp.  121-129. http://gdmltest.u-ga.fr/item/1049075015/