Laplace transform method for pricing American CEV strangles option with two free boundaries

DOI10.1155/2018/5908646zbMath1422.91735OpenAlexW2892175967MaRDI QIDQ1727172

Publication date: 20 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/5908646

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

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Cites Work

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Fast numerical contour integral method for fractional diffusion equations
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Evaluation of American strangles
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Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
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Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
Finite maturity margin call stock loans
Pricing double barrier options using Laplace transforms
CEV asymptotics of American options
Valuing finite-lived Russian options
Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
Pricing and Hedging Path-Dependent Options Under the CEV Process
A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
Parabolic and hyperbolic contours for computing the Bromwich integral
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The Accurate Numerical Inversion of Laplace Transforms
Laplace transforms and American options
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