Analytic solution for American strangle options using Laplace–Carson transforms-Reference-Cited by-同舟云学术

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Analytic solution for American strangle options using Laplace–Carson transforms

Published:2017-06 Issue: Volume:47 Page:292-307
ISSN:1007-5704
Container-title:Communications in Nonlinear Science and Numerical Simulation
language:en
Short-container-title:Communications in Nonlinear Science and Numerical Simulation

Author:

Kang Myungjoo,Jeon Junkee,Han Heejae,Lee Somin

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis

Reference21 articles.

1. Breaking down the barriers;Reiner;Risk,1991

2. Pricing dynamic investment fund protection;Gerber;N Am Actuar J,2000

3. Turbo warrants under stochastic volatility;Wong;Quant Financ,2008

4. The analytic valuation of american options;Kim;Rev Financ Stud,1990

5. The russian option: finite horizon;Peskir;Finance Stoch,2005

Cited by 14 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Quadratic American Strangle Options in Light of Two-Sided Optimal Stopping Problems;Mathematics;2024-05-08

2. On the American style futures contracts;Croatian operational research review;2024

3. American strangle options with arbitrary strikes;Journal of Futures Markets;2023-04-11

4. PRICING AMERICAN LOOKBACK OPTIONS UNDER A STOCHASTIC VOLATILITY MODEL;B KOREAN MATH SOC;2023

5. Perpetual cancellable American options with convertible features;Modern Stochastics: Theory and Applications;2023

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