A note on the perpetual American straddle

DOI10.20948/MATHMONTIS-2019-45-10zbMATH Open1488.91139OpenAlexW3126103647MaRDI QIDQ5012014FDOQ5012014

Authors: Lazar Obradović 

Publication date: 30 August 2021

Published in: Mathematica Montisnigri (Search for Journal in Brave)

Full work available at URL: https://pub.uni-bielefeld.de/record/2903703

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zbMATH Keywords

optimal stoppingBlack-Scholes modelmathematical financeperpetual American optionsderivative pricingAmerican straddle

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (2)

• Perpetual American straddle option
• The American straddle close to expiry

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