Analytic solution for American strangle options using Laplace-Carson transforms
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Publication:2005252
DOI10.1016/j.cnsns.2016.11.024OpenAlexW2558862700MaRDI QIDQ2005252
Somin Lee, Heejae Han, Myungjoo Kang, Junkee Jeon
Publication date: 7 October 2020
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2016.11.024
Partial differential equations (35-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items (8)
A new approach for pricing discounted American options ⋮ A simple and fast method for valuing American knock-out options with rebates ⋮ Perpetual cancellable American options with convertible features ⋮ Perpetual game options with a multiplied penalty ⋮ Unnamed Item ⋮ Applications of a novel integral transform to partial differential equations ⋮ Classifications and duality relations for several integral transforms ⋮ Efficient valuation of a variable annuity contract with a surrender option
Cites Work
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- Valuing American options under the CEV model by Laplace-Carson transforms
- Evaluation of American strangles
- The Fourier-series method for inverting transforms of probability distributions
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- The Russian option: finite horizon
- American Fractional Lookback Options: Valuation and Premium Decomposition
- American Continuous-Installment Options: Valuation and Premium Decomposition
- Turbo warrants under stochastic volatility
- The Accurate Numerical Inversion of Laplace Transforms
- Randomization and the American Put
- Free boundary problems and perpetual American strangles
- Pricing Dynamic Investment Fund Protection
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