Research Article
Laplace Transform Method for Pricing American CEV Strangles Option with Two Free Boundaries
Algorithm 2
NLTM algorithm for pricing American Strangles.
Step 1.Use Algorithm 1 to compute and . | Step 2.Compute and by optimizing (34). | Step 3.Solve the linear system (23) to get . | Step 4.Apply Laplace inversion GSF or HCIM to restore American Strangles option | value . |
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