Analytic solution for American strangle options using Laplace–Carson transforms

Kang, Myungjoo; Jeon, Junkee; Han, Heejae; Lee, Somin

doi:10.1016/j.cnsns.2016.11.024

Cited by 14 publications

(6 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Kudinov [13] explored the heat-exchange problem by Laplace-Carson transform (LCT). Kang et al [11] analyzed American strangle-options problem. Watugala [15] discussed the control engineering problem by Sumudu transform (ST).…”

Section: Introductionmentioning

confidence: 99%

Applications of a novel integral transform to partial differential equations

Liang¹,

Gao²,

Yong-liang³

et al. 2017

J. Nonlinear Sci. Appl.

View full text Add to dashboard Cite

show abstract

Section: Introductionmentioning

confidence: 99%

Applications of a novel integral transform to partial differential equations

Liang¹,

Gao²,

Yong-liang³

et al. 2017

J. Nonlinear Sci. Appl.

View full text Add to dashboard Cite

show abstract

“…Chiarella and Ziogas (2005) overcome some problems with the Laplace transform using the Fourier one. Alternatively, Kang et al (2017) use the Laplace–Carlson transform. An approach based on deriving the limits for the boundaries by the use of capping is presented by Ma et al (2018).…”

Section: Introductionmentioning

confidence: 99%

American strangle options with arbitrary strikes

Zaevski

2023

Journal of Futures Markets

View full text Add to dashboard Cite

The so-called American strangle options are examined in this paper. Their main characteristic is the combined put and call feature. The holder has the right to exercise prematurely choosing the option's style-put or call. We abandon the traditional assumption that the put strike is below the call one considering arbitrary values. We also assume that the put and call weights are different. The equations for the early exercise boundaries are derived in the perpetual case.After that we approximate numerically these boundaries for the finite maturity options maximizing the option holder's utility. On the basis of them we apply a Crank-Nicolson finite difference method to the corresponding Black-Scholesstyle partial differential equation to obtain the fair option price.

show abstract

“…In recent years, many researchers have proposed exotic American style options with various approaches. Based on the Laplace-Carson Transform (LCT) approach, Park and Jeon [13] and Kang et al [14] obtained numerically the prices of American knock-out options with rebate and American strangle options, respectively. Zaevski [15] proposed a new form of the early exercise premium for the American type options using the technique of stopping times.…”

Section: Introductionmentioning

confidence: 99%

“…Wong and Lau [24] studied exotic path-dependent options and provided an efficient and accurate approach for valuing the options under the MRL model. Motivated by these works and the work of Kang et al [14], we consider the MRL model for the underlying asset as an extensional work for the American strangle option pricing. We used the partial differential equation (PDE) approach to present the pricing formula of the American strangle option under the MRL model explicitly.…”

Section: Introductionmentioning

confidence: 99%

Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment

Jeon

Kim

2022

Mathematics

Self Cite

View full text Add to dashboard Cite

This paper investigates the American strangle option in a mean-reversion environment. When the underlying asset follows a mean-reverting lognormal process, an analytic pricing formula for an American strangle option is explicitly provided. To present the pricing formula, we consider the partial differential equation (PDE) for American strangle options with two optimal stopping boundaries and use Mellin transform techniques to derive the integral equation representation formula arising from the PDE. A Monte Carlo simulation is used as a benchmark to validate the formula’s accuracy and efficiency. In addition, the numerical examples are provided to demonstrate the effects of the mean-reversion on option prices and the characteristics of options with respect to several significant parameters.

show abstract

Analytic solution for American strangle options using Laplace–Carson transforms

Cited by 14 publications

References 16 publications

Applications of a novel integral transform to partial differential equations

Applications of a novel integral transform to partial differential equations

American strangle options with arbitrary strikes

Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment

Contact Info

Product

Resources

About