Table of Contents Author Guidelines Submit a Manuscript
Journal of Applied Mathematics
Volume 2, Issue 3, Pages 121-129
http://dx.doi.org/10.1155/S1110757X02110011

Laplace transforms and the American straddle

1Department of Mathematics and Statistics, University of Regina, Regina S4S 0A2, Saskatchewan, Canada
2Department of Applied Mathematics, University of Western Ontario, London N6A 5B7, Ontario, Canada

Received 2 October 2001; Revised 12 March 2002

Copyright © 2002 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Citations to this Article [8 citations]

The following is the list of published articles that have cited the current article.

  • Ghada Alobaidi, Roland Mallier, and A. Stanley Deakin, “Laplace Transforms And Installment Options,” Mathematical Models and Methods in Applied Sciences, vol. 14, no. 08, pp. 1167–1189, 2004. View at Publisher · View at Google Scholar
  • Carl Chiarella, and Andrew Ziogas, “Evaluation of American strangles,” Journal of Economic Dynamics and Control, vol. 29, no. 1-2, pp. 31–62, 2005. View at Publisher · View at Google Scholar
  • Ghada Alobaidi, and Roland Mallier, “The American straddle close to expiry,” Boundary Value Problems, vol. 2006, pp. 1–14, 2006. View at Publisher · View at Google Scholar
  • Franck Moraux, “On Perpetual American Strangles,” The Journal of Derivatives, vol. 16, no. 4, pp. 82–97, 2009. View at Publisher · View at Google Scholar
  • Carl Chiarella, and Andrew Ziogas, “American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach,” Applied Mathematical Finance, vol. 16, no. 1, pp. 37–79, 2009. View at Publisher · View at Google Scholar
  • Souleymane Laminou Abdou, and Franck Moraux, “Pricing and Hedging American and Hybrid Strangles with Finite Maturity,” Journal of Banking & Finance, 2015. View at Publisher · View at Google Scholar
  • Jing-Tang Ma, Wen-Yuan Li, and Zhen-Yu Cui, “Valuation of American Strangles Through an Optimized Lower–Upper Bound Approach,” Journal of the Operations Research Society of China, 2017. View at Publisher · View at Google Scholar
  • R. Mallier, and J. Goard, “Integral Equation Formulation For Shout Options,” The ANZIAM Journal, pp. 1–21, 2018. View at Publisher · View at Google Scholar