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Analytic solution for American strangle options using Laplace-Carson transforms
Laplace-Carson 변환을 이용한 미국형 스트랭글 옵션의 해석적 해

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Authors
이소민
Advisor
강명주
Major
자연과학대학 수리과학부
Issue Date
2017
Publisher
서울대학교 대학원
Keywords
American strangle optionsFree boundary problemsLaplace-Carson transformsNumerical 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
URI
http://hdl.handle.net/10371/131515
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College of Natural Sciences (자연과학대학)Dept. of Mathematical Sciences (수리과학부)Theses (Master's Degree_수리과학부)
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