The American straddle close to expiry
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 th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2006-06-01
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| Series: | Boundary Value Problems |
| Online Access: | http://dx.doi.org/10.1155/BVP/2006/32835 |