Journal of Applied Mathematics

Laplace transforms and the American straddle

G. Alobaidi and R. Mallier

Full-text: Open access

Abstract

We address the pricing of American straddle options. We use partial Laplace transform techniques due to Evans et al. (1950) 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.

Article information

Source
J. Appl. Math., Volume 2, Number 3 (2002), 121-129.

Dates
First available in Project Euclid: 30 March 2003

Permanent link to this document
https://projecteuclid.org/euclid.jam/1049075015

Digital Object Identifier
doi:10.1155/S1110757X02110011

Mathematical Reviews number (MathSciNet)
MR1915661

Zentralblatt MATH identifier
1005.91058

Subjects
Primary: 65R20: Integral equations

Citation

Alobaidi, G.; Mallier, R. Laplace transforms and the American straddle. J. Appl. Math. 2 (2002), no. 3, 121--129. doi:10.1155/S1110757X02110011. https://projecteuclid.org/euclid.jam/1049075015


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References

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