Evaluation of American strangles

DOI10.1016/j.jedc.2003.04.010zbMath1202.91315MaRDI QIDQ953735

Carl Chiarella, Andrew Ziogas

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/5117

zbMATH Keywords

American options; free-boundary problem; incomplete Fourier transform; coupled Volterra integral equation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65R20: Numerical methods for integral equations

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

35R35: Free boundary problems for PDEs

45F05: Systems of nonsingular linear integral equations

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Cites Work

• The Pricing of Options and Corporate Liabilities
• On the pricing of American options
• An optimal stopping problem with linear reward
• On optimal stopping and free boundary problems
• Laplace transforms and the American straddle
• Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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