Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment

Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment

This paper investigates the American strangle option in a mean-reversion environment. When the underlying asset follows a mean-reverting lognormal process, an analytic pricing formula for an American strangle option is explicitly provided. To present the pricing formula, we consider the partial diff...

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Bibliographic Details
Main Authors: Junkee Jeon, Geonwoo Kim
Format: Article
Language:English
Published: MDPI AG 2022-07-01
Series:Mathematics
Subjects:
American strangle option
optimal boundary
mean-reversion
Mellin transform
Online Access:https://www.mdpi.com/2227-7390/10/15/2688

Internet

https://www.mdpi.com/2227-7390/10/15/2688

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