Laplace transforms and the American straddle

DOI10.1155/S1110757X02110011zbMath1005.91058OpenAlexW2040548190MaRDI QIDQ1608817

Ghada Alobaidi, Roland Mallier

Publication date: 13 August 2002

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/49772

zbMATH Keywords

American straddle optionspartial Laplace transform

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Laplace transform (44A10)

Related Items (8)

Valuation of American strangles through an optimized lower-upper bound approach ⋮ LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS ⋮ American Strangle Options ⋮ MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS ⋮ The American straddle close to expiry ⋮ Evaluation of American strangles ⋮ INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS ⋮ American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach

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