American Strangle Options

DOI10.1080/1350486X.2020.1825968zbMath1457.91390OpenAlexW3094393657MaRDI QIDQ5149268

Shi Qiu

Publication date: 8 February 2021

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

Full work available at URL: https://doi.org/10.1080/1350486x.2020.1825968

zbMATH Keywords

optimal stoppingAmerican strangle optionchange-of-variable formula on curvescontinuous dividend yielddouble free-boundariesgreeks analysis

Mathematics Subject Classification ID

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

Related Items (3)

Perpetual American double lookback options on drawdowns and drawups with floating strikes ⋮ Variational inequality arising from variable annuity with mean reversion environment ⋮ Valuation of American strangle option: variational inequality approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Evaluation of American strangles
• Laplace transforms and the American straddle
• American chooser options
• The Russian option: finite horizon
• A change-of-variable formula with local time on curves
• The British Put Option
• On the structure of discounted optimal stopping problems for one-dimensional diffusions
• Optimal Stopping and the American Put
• The Wiener Sequential Testing Problem with Finite Horizon
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• ON THE AMERICAN OPTION PROBLEM
• The British call option

This page was built for publication: American Strangle Options