Free boundary problems and perpetual American strangles

DOI10.1080/14697688.2013.770159MaRDI QIDQ5397447zbMATH OpenOpenAlexFDO

Authors Ming-Chi Chang, Yuan-Chung Sheu

Publication date 20 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2013.770159

zbMATH Keywords

American option contractsjump-diffusion modelLévy-model settingoption pricingperpetual American strangles

Mathematics Subject Classification ID

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

Cites work

• Double barrier options in regime-switching hyper-exponential jump-diffusion models
• On optimal stopping problems for matrix-exponential jump-diffusion processes
• On the Novikov-Shiryaev optimal stopping problems in continuous time
• Optimal stopping and perpetual options for Lévy processes
• Optimal stopping for a diffusion with jumps
• Perpetual American Options Under Lévy Processes
• PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
• Russian and American put options under exponential phase-type Lévy models.

Cited in

(5)

• Analytic solution for American strangle options using Laplace-Carson transforms
• Two-sided optimal stopping for Lévy processes
• On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
• Analytic approximations for pricing perpetual American strangle options under constant elasticity of variance model with stochastic volatility
• Pricing for perpetual American strangle options under stochastic volatility with fast mean reversion

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