A note on the perpetual American straddle

Lazar Obradović
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Lazar Obradović: Center for Mathematical Economics, Bielefeld University

No 559, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: The value and the optimal exercise time of the perpetual American straddle is characterized by the unique solution of a single non-linear equation with one unknown variable.

Pages: 6
Date: 2016-06-10
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https://pub.uni-bielefeld.de/download/2903703/2903704 First Version, 2016 (application/x-download)

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