The American straddle close to expiry
<p/> <p>We address the pricing of American straddle options. We use a technique due to Kim (1990) to derive an expression involving integrals for the price of such an option close to expiry. We then evaluate this expression on the dual optimal exercise boundaries to obtain a set of integ...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2006-01-01
|
| Series: | Boundary Value Problems |
| Online Access: | http://www.boundaryvalueproblems.com/content/2006/32835 |
| _version_ | 1819083732916633600 |
|---|---|
| author | Mallier Roland Alobaidi Ghada |
| author_facet | Mallier Roland Alobaidi Ghada |
| author_sort | Mallier Roland |
| collection | DOAJ |
| description | <p/> <p>We address the pricing of American straddle options. We use a technique due to Kim (1990) to derive an expression involving integrals for the price of such an option close to expiry. We then evaluate this expression on the dual optimal exercise boundaries to obtain a set of integral equations for the location of these exercise boundaries, and solve these equations close to expiry.</p> |
| first_indexed | 2024-12-21T20:37:15Z |
| format | Article |
| id | doaj.art-af5e7e898f78456c9940f3807ad1ea66 |
| institution | Directory Open Access Journal |
| issn | 1687-2762 1687-2770 |
| language | English |
| last_indexed | 2024-12-21T20:37:15Z |
| publishDate | 2006-01-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Boundary Value Problems |
| spelling | doaj.art-af5e7e898f78456c9940f3807ad1ea662022-12-21T18:51:04ZengSpringerOpenBoundary Value Problems1687-27621687-27702006-01-012006132835The American straddle close to expiryMallier RolandAlobaidi Ghada<p/> <p>We address the pricing of American straddle options. We use a technique due to Kim (1990) to derive an expression involving integrals for the price of such an option close to expiry. We then evaluate this expression on the dual optimal exercise boundaries to obtain a set of integral equations for the location of these exercise boundaries, and solve these equations close to expiry.</p>http://www.boundaryvalueproblems.com/content/2006/32835 |
| spellingShingle | Mallier Roland Alobaidi Ghada The American straddle close to expiry Boundary Value Problems |
| title | The American straddle close to expiry |
| title_full | The American straddle close to expiry |
| title_fullStr | The American straddle close to expiry |
| title_full_unstemmed | The American straddle close to expiry |
| title_short | The American straddle close to expiry |
| title_sort | american straddle close to expiry |
| url | http://www.boundaryvalueproblems.com/content/2006/32835 |
| work_keys_str_mv | AT mallierroland theamericanstraddleclosetoexpiry AT alobaidighada theamericanstraddleclosetoexpiry AT mallierroland americanstraddleclosetoexpiry AT alobaidighada americanstraddleclosetoexpiry |