LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS

DOI10.1017/S0269964820000492zbMath1505.91386MaRDI QIDQ5051184

Jingtang Ma, Zhen-Yu Cui, Wen-Yuan Li

Publication date: 22 November 2022

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964820000492

zbMATH Keywords

Laplace transform; American option pricing; jump diffusions; option bounds; early exercise boundary

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

44A10: Laplace transform

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Cites Work

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