Pricing and hedging american strangles with finite maturity

Laminou Abdou Souleymane and Franck Moraux ()
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Laminou Abdou Souleymane: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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Keywords: american strangles; early exercise boundaries; Kim representation; numerical integration; Greek parmeters (search for similar items in EconPapers)
Date: 2013-05-28
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Published in 30th International French Finance Association conference (AFFI), May 2013, Lyon, France

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00830484

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