Evaluation of American strangles

DOI10.1016/j.jedc.2003.04.010zbMath1202.91315OpenAlexW2055787797MaRDI QIDQ953735

Carl Chiarella, Andrew Ziogas

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/5117

zbMATH Keywords

American optionsfree-boundary problemincomplete Fourier transformcoupled Volterra integral equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Systems of nonsingular linear integral equations (45F05)

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• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS