Publications
Detailed Information
Analytic solution for American strangle options using Laplace-Carson transforms : Laplace-Carson 변환을 이용한 미국형 스트랭글 옵션의 해석적 해
Cited 0 time in
Web of Science
Cited 0 time in Scopus
- Authors
- Advisor
- 강명주
- Major
- 자연과학대학 수리과학부
- Issue Date
- 2017-02
- Publisher
- 서울대학교 대학원
- Keywords
- American strangle options ; Free boundary problems ; Laplace-Carson transforms ; Numerical Laplace inversion
- Description
- 학위논문 (석사)-- 서울대학교 대학원 : 수리과학부, 2017. 2. 강명주.
- Abstract
- A strangle has been an important strategy for options when the trader believes there will be a large movement in the underlying asset but are uncertain of which way the movement will be. In this paper, we derive analytic formula for the price of American strangle options. American strangle options can be mathematically formulated into the free boundary problems involving two early exercise boundaries. By using Laplace-Carson Transform(LCT), we can derive the nonlinear system of equations satisfied by the transformed value of two free boundaries. Then we solve this nonlinear system using Newton's method and finally get the free boundaries and option values using numerical Laplace inversion techniques. We also derive the value of perpetual American strangle options. Furthermore, We present various graphs for the free boundaries and option values according to the change of parameters.
- Language
- English
- Files in This Item:
- Appears in Collections:
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.