Valuation of American strangles through an optimized lower-upper bound approach

DOI10.1007/S40305-017-0174-2MaRDI QIDQ1655917zbMATH OpenOpenAlexFDO

Authors Jingtang Ma, Wen-Yuan Li, Zhenyu Cui

Publication date 10 August 2018

Published in Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40305-017-0174-2

zbMATH Keywords

optimizationoption pricinglower and upper boundsAmerican strangleearly exercise boundaries

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• An approximate moving boundary method for American option pricing
• An exact and explicit solution for the valuation of American put options
• Evaluation of American strangles
• Improved lower and upper bound algorithms for pricing American options by simulation
• Laplace transforms and the American straddle
• Mathematical methods for financial markets.
• Option pricing: A simplified approach
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing American Options: A Duality Approach
• Pricing Options With Curved Boundaries¹
• Pricing double barrier options using Laplace transforms
• The implication of missing the optimal-exercise time of an American option
• The valuation of American options for a class of diffusion processes
• Valuing American options by simulation: a simple least-squares approach

Cited in

(4)

• American strangle options
• Valuation of American strangle option: variational inequality approach
• Analytic solution for American strangle options using Laplace-Carson transforms
• On the American style futures contracts

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