Laplace transforms and the American straddle (Q1608817)
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scientific article; zbMATH DE number 1780546
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Laplace transforms and the American straddle |
scientific article; zbMATH DE number 1780546 |
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Laplace transforms and the American straddle (English)
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13 August 2002
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Summary: We address the pricing of American straddle options. We use partial Laplace transform techniques 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.
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American straddle options
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partial Laplace transform
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