Laplace transforms and the American straddle
type: Item
instance of: scholarly article
title: Laplace transforms and the American straddle
zbMATH Open document ID: 1005.91058
DOI: 10.1155/S1110757X02110011
author: G. Alobaidi
author: R. Mallier
published in: Journal of Applied Mathematics
publication date: 2002-08-13T00:00:00Z
full work available at URL: https://eudml.org/doc/49772
review text: Summary: We address the pricing of American straddle options. We use partial Laplace transform techniques to derive a pair of integral equations giving the locations of the optimal exercise boundaries for an American straddle option with a constant dividend yield.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 44A10
Mathematics Subject Classification ID: 65R20
zbMATH DE Number: 1780546
zbMATH Keywords: American straddle options
zbMATH Keywords: partial Laplace transform
MaRDI profile type: Publication
OpenAlex ID: W2040548190
description: scientific article; zbMATH DE number 1780546