Evaluation of American strangles

Publisher:
Elsevier Science Bv
Publication Type:
Journal Article
Citation:
Journal Of Economic Dynamics & Control, 2005, 29 (1-2), pp. 31 - 62
Issue Date:
2005-01
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This paper presents a generalisation of McKean's free boundary value problem for American options by considering an American strangle position, where exercising one side of the payoff early knocks-out the remaining side. The Fourier transform technique i
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