Laplace Transforms and the American Call Option

Ghada Alobaidi () and Roland Mallier ()
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Ghada Alobaidi: American University of Sharjah, Department of Mathematics
Roland Mallier: University of Western Ontario, Department of Applied Mathematics

A chapter in Mathematical Control Theory and Finance, 2008, pp 15-27 from Springer

Abstract: Summary A partial Laplace transform is used to study the valuation of American call options with constant dividend yield, and to derive an integral equation for the location of the optimal exercise boundary, which is the main result of this paper. The integral equation differs depending on whether the dividend yield is less than or exceeds the risk-free rate.

Keywords: Integral Equation; Free Boundary; Option Price; Free Boundary Problem; American Option (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-69532-5_2

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DOI: 10.1007/978-3-540-69532-5_2

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