Laplace transforms and the American straddle. (English) Zbl 1005.91058

Summary: We address the pricing of American straddle options. We use partial Laplace transform techniques 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.


91B28 Finance etc. (MSC2000)
44A10 Laplace transform
65R20 Numerical methods for integral equations
Full Text: DOI EuDML