Laplace transforms and American options

DOI10.1080/13504860110060384zbMath1031.91053OpenAlexW2059120953MaRDI QIDQ4784303

Ghada Alobaidi, Roland Mallier

Publication date: 12 May 2003

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860110060384

zbMATH Keywords

Laplace transformAmerican optionsoptimal exercise boundarydividend yieldFredholm-type integral equation

Mathematics Subject Classification ID

Related Items (11)

Laplace transforms and American options ⋮ On convergence of Laplace inversion for the American put option under the CEV model ⋮ LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS ⋮ Laplace transform methods for a free boundary problem of time-fractional partial differential equation system ⋮ Unnamed Item ⋮ Semi-analytic valuation of stock loans with finite maturity ⋮ Exercisability Randomization of the American Option ⋮ Hybrid Laplace transform and finite difference methods for pricing American options under complex models ⋮ Laplace transform method for pricing American CEV strangles option with two free boundaries ⋮ Installment options close to expiry ⋮ Limitations and improvements of standard spectral methods for pricing standard options

Cites Work

• The Pricing of Options and Corporate Liabilities
• On optimal stopping and free boundary problems
• The valuation of American barrier options using the decomposition technique
• Analytic and Numerical Solutions of a Nonlinear Boundary-Layer Problem
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Approximations for the values of american options
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Optimal exercise boundary for an American put option
• Laplace transforms and American options
• Stefan-like problems

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