Analytic solution for American strangle options using Laplace-Carson transforms
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- 作者：Myungjoo Kang ; Junkee Jeon<sup> ; sup><sup>hollman@snu.ac.krsup> ; Heejae Han ; Somin Lee
- 关键词：American strangle options ; Free boundary problems ; Laplace&ndash ; Carson transforms ; Numerical Laplace inversion
- 刊名：Communications in Nonlinear Science and Numerical Simulation
- 出版年：2017
- 出版时间：June 2017
- 年：2017
- 卷：47
- 期：Complete
- 页码：292-307
- 全文大小：713 K
- 卷排序：47
文摘
We derive analytic formula of Laplace–Carson transforms (LCT) for the price of American strangle options. By LCT, we can derive the nonlinear system of equations satisfied by the transformed value of two free boundaries of American strangle option. We then solve this nonlinear system using Newton’s method and finally get the free boundaries and option values using numerical Laplace inversion techniques.