American Strangle Options
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Publication:5149268
DOI10.1080/1350486X.2020.1825968zbMath1457.91390OpenAlexW3094393657MaRDI QIDQ5149268
Publication date: 8 February 2021
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2020.1825968
optimal stoppingAmerican strangle optionchange-of-variable formula on curvescontinuous dividend yielddouble free-boundariesgreeks analysis
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Perpetual American double lookback options on drawdowns and drawups with floating strikes ⋮ Variational inequality arising from variable annuity with mean reversion environment ⋮ Valuation of American strangle option: variational inequality approach
Cites Work
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- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- ON THE AMERICAN OPTION PROBLEM
- The British call option
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