Laplace transforms and shout options

MaRDI QIDQ3076929zbMATH OpenFDO

Authors G. Alobaidi, R. Mallier, Sattar Mansi

Publication date 25 February 2011

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zbMATH Keywords

integro-differential equationsAmerican optionsLaplace transformsshout options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Laplace transform (44A10)

Recommendations

• Integral equation formulation for shout options
• Laplace transforms and American options
• Shout options: A framework for pricing contracts which can be modified by the investor
• Laplace Transforms and the American Call Option
• Asymptotic analysis of shout options close to expiry

Cited in

(7)

• An object-oriented framework for valuing shout options on high-performance computer architectures
• Exact solutions for a strike reset put option and a shout call option
• Laplace transforms and American options
• Laplace Transforms and the American Call Option
• A numerical method to determine the optimal stopping boundary for installment option
• Asymptotic analysis of shout options close to expiry
• Integral equation formulation for shout options

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