The American straddle close to expiry
From MaRDI portal
Publication:2472118
DOI10.1155/BVP/2006/32835zbMath1138.91417WikidataQ59212383 ScholiaQ59212383MaRDI QIDQ2472118
Ghada Alobaidi, Roland Mallier
Publication date: 20 February 2008
Published in: Boundary Value Problems (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/54160
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- On optimal stopping and free boundary problems
- Asymptotic analysis of American call options
- Laplace transforms and the American straddle
- The Cauchy-Stefan problem
- CRITICAL STOCK PRICE NEAR EXPIRATION
- Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
- Some mathematical results in the pricing of American options
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- A nonlinear partial differential equation for american options in the entire domain of the state variable
This page was built for publication: The American straddle close to expiry
