Laplace transforms and the American straddle

G. Alobaidi and R. Mallier

Journal of Applied Mathematics, 2002, vol. 2, issue 3, 121-129

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
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https://doi.org/10.1155/S1110757X02110011

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2:y:2002:i:3:p:121-129

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