Evaluation of American strangles

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dc.contributor.author Chiarella, C
dc.contributor.author Ziogas, A
dc.date.accessioned 2009-12-21T02:36:44Z
dc.date.issued 2005-01
dc.identifier.citation Journal Of Economic Dynamics & Control, 2005, 29 (1-2), pp. 31 - 62
dc.identifier.issn 0165-1889
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5117
dc.description.abstract 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
dc.publisher Elsevier Science Bv
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon 10.1016/j.jedc.2003.04.010
dc.rights NOTICE: This is the author’s version of a work that was accepted for publication by Elsevier. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published by Elsevier. en_US
dc.title Evaluation of American strangles
dc.type Journal Article
dc.parent Journal Of Economic Dynamics & Control
dc.journal.volume 1-2
dc.journal.volume 29
dc.journal.number 1-2 en_US
dc.publocation Amsterdam, Netherlands en_US
dc.identifier.startpage 31 en_US
dc.identifier.endpage 62 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1402 Applied Economics
dc.personcode 001068
dc.personcode 716350
dc.percentage 100 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.custom 0.477 en_US
dc.description.keywords American options; coupled Volterra integral equation; incomplete Fourier transform; free-boundary problem en_US
dc.description.keywords American options
dc.description.keywords coupled Volterra integral equation
dc.description.keywords incomplete Fourier transform
dc.description.keywords free-boundary problem
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
utslib.collection.history Finance (ID: 371)
utslib.collection.history General (ID: 2)


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