Analytic solution for American strangle options using Laplace-Carson transforms

DOI10.1016/J.CNSNS.2016.11.024OpenAlexW2558862700MaRDI QIDQ2005252FDOQ2005252

Authors: Myungjoo Kang, Junkee Jeon, Heejae Han, Somin Lee 

Publication date: 7 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2016.11.024

Recommendations

• Evaluation of American strangles
• Laplace transform method for pricing American CEV strangles option with two free boundaries
• American strangle options
• Laplace transforms and the American straddle
• Valuation of American strangles through an optimized lower-upper bound approach

zbMATH Keywords

free boundary problemsLaplace-Carson transformsnumerical Laplace inversionAmerican strangle options

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Partial differential equations (35-XX)

Cites Work

• Valuing finite-lived Russian options
• The Accurate Numerical Inversion of Laplace Transforms
• Valuing American options under the CEV model by Laplace-Carson transforms
• Title not available (Why is that?)
• The Fourier-series method for inverting transforms of probability distributions
• Evaluation of American strangles
• Randomization and the American put
• An integral equation representation approach for valuing Russian options with a finite time horizon
• The Russian option: finite horizon
• American fractional lookback options: valuation and premium decomposition
• Turbo warrants under stochastic volatility
• American continuous-installment options: valuation and premium decomposition
• Pricing Dynamic Investment Fund Protection
• Free boundary problems and perpetual American strangles

Cited In (12)

• Perpetual cancellable American options with convertible features
• A new approach for pricing discounted American options
• Efficient valuation of a variable annuity contract with a surrender option
• American strangle options
• Applications of a novel integral transform to partial differential equations
• Perpetual game options with a multiplied penalty
• Pricing American lookback options under a stochastic volatility model
• Valuation of American strangles through an optimized lower-upper bound approach
• Classifications and duality relations for several integral transforms
• A simple and fast method for valuing American knock-out options with rebates
• Laplace transform method for pricing American CEV strangles option with two free boundaries
• On the American style futures contracts

This page was built for publication: Analytic solution for American strangle options using Laplace-Carson transforms

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2005252)