Laplace transforms and shout options

zbMATH Open1240.91161MaRDI QIDQ3076929FDOQ3076929

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)

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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