G. Alobaidi, R. Mallier, "Laplace transforms and the American straddle", Journal of Applied Mathematics, vol. 2, Article ID 428081, 9 pages, 2002. https://doi.org/10.1155/S1110757X02110011
Laplace transforms and the American straddle
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.
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