Analytic solution for American strangle options using Laplace-Carson transforms

DOI10.1016/J.CNSNS.2016.11.024MaRDI QIDQ2005252zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1424149 (Why is no real title available?)
• American continuous-installment options: valuation and premium decomposition
• American fractional lookback options: valuation and premium decomposition
• An integral equation representation approach for valuing Russian options with a finite time horizon
• Evaluation of American strangles
• Free boundary problems and perpetual American strangles
• Pricing Dynamic Investment Fund Protection
• Randomization and the American put
• The Accurate Numerical Inversion of Laplace Transforms
• The Fourier-series method for inverting transforms of probability distributions
• The Russian option: finite horizon
• Turbo warrants under stochastic volatility
• Valuing American options under the CEV model by Laplace-Carson transforms
• Valuing finite-lived Russian options

Cited in

(12)

• A new approach for pricing discounted American options
• Perpetual cancellable American options with convertible features
• 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

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