Laplace transforms and the American straddle

G. Alobaidi and R. Mallier

Journal of Applied Mathematics, 2002, vol. 2, 1-9

Abstract:

We address the pricing of American straddle options. We use partial Laplace transform techniques due to Evans et al. (1950) to derive a pair of integral equations giving the locations of the optimal exercise boundaries for an American straddle option with a constant dividend yield.

Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://downloads.hindawi.com/journals/JAM/2/428081.pdf (application/pdf)
http://downloads.hindawi.com/journals/JAM/2/428081.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:428081

DOI: 10.1155/S1110757X02110011

Access Statistics for this article

More articles in Journal of Applied Mathematics from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().