Evaluation of American strangles
type: Item
instance of: scholarly article
title: Evaluation of American strangles
zbMATH Open document ID: 1202.91315
author: Carl Chiarella
author: Andrew Ziogas
publication date: 2008-11-06T00:00:00Z
full work available at URL: http://hdl.handle.net/10453/5117
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35R35
Mathematics Subject Classification ID: 45F05
Mathematics Subject Classification ID: 65R20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5362853
zbMATH Keywords: American options
zbMATH Keywords: coupled Volterra integral equation
zbMATH Keywords: incomplete Fourier transform
zbMATH Keywords: free-boundary problem
MaRDI profile type: Publication
OpenAlex ID: W2055787797
cites work: Laplace transforms and the American straddle
cites work: The pricing of options and corporate liabilities
cites work: ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
cites work: American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
cites work: Q5568092
cites work: Optimal Stopping and the American Put
cites work: On the pricing of American options
cites work: Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
cites work: Q4905685
cites work: An optimal stopping problem with linear reward
cites work: On optimal stopping and free boundary problems
DOI: 10.1016/J.JEDC.2003.04.010
published in: Journal of Economic Dynamics and Control
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description: scientific article; zbMATH DE number 5362853