Analytic Approximation for American Straddle Options
This paper looks at adapting a recent approach found in the literature for pricing short-term American options to price American straddle options with two free boundaries. We provide a series solution in which explicit formulas for the coefficients are given. Hence, no complicated, recursive systems...
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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2022-04-01
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| Col·lecció: | Mathematics |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/2227-7390/10/9/1401 |
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