On the American style futures contracts

DOI10.17535/crorr.2024.0004MaRDI QIDQ6546109

Tsvetelin S. Zaevski

Publication date: 29 May 2024

Published in: Croatian Operational Research Review (CRORR) (Search for Journal in Brave)

zbMATH Keywords

American optionspricingoptimal boundariesAmerican futures contracts

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Evaluation of American strangles
• Laplace transforms and the American straddle
• Valuation of American strangles through an optimized lower-upper bound approach
• Valuation of American strangle option: variational inequality approach
• Some calculations for Israeli options
• Analytic solution for American strangle options using Laplace-Carson transforms
• A new approach for pricing discounted American options
• Optimal Stopping and the American Put
• PERPETUAL CANCELLABLE AMERICAN CALL OPTION
• Early Exercise Boundary of an American Put
• American Strangle Options
• Laplace Transforms for the First Hitting Time of a Brownian Motion
• GAME CALL OPTIONS REVISITED
• Game options
• Perpetual cancellable American options with convertible features
• Variational inequality arising from variable annuity with mean reversion environment

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