Evaluation of American strangles

被引：29

作者：

Chiarella, C ^{[1
]}

Ziogas, A ^{[1
]}

机构：

[1] Univ Technol Sydney, Sch Finance & Econ, Sydney, NSW 2007, Australia

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2005年 / 29卷 / 1-2期

关键词：

American options; coupled Volterra integral equation; incomplete Fourier transform; free-boundary problem;

D O I：

10.1016/j.jedc.2003.04.010

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper presents a generalisation of McKean's free boundary value problem for American options by considering an American strangle position, where exercising one side of the payoff early knocks-out the remaining side. The Fourier transform technique is used to derive a coupled integral equation system for the strangle's free boundaries. A numerical algorithm is provided to solve this system, and these free boundaries are then used to determine the price of the American strangle position. Numerical comparisons between the strangle price and the price of a portfolio formed using a long American call and a long American put option are presented. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：31 / 62

页数：32

共 23 条

[1]

Alobaidi G., 2002, J APPL MATH, V2, P121, DOI DOI 10.1155/S1110757X02110011

[2] EFFICIENT ANALYTIC APPROXIMATION OF AMERICAN OPTION VALUES [J].

BARONEADESI, G ;

WHALEY, RE .

JOURNAL OF FINANCE, 1987, 42 (02) :301-320

[3] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

[4] VALUATION OF AMERICAN PUT OPTIONS [J].

BRENNAN, MJ ;

SCHWARTZ, ES .

JOURNAL OF FINANCE, 1977, 32 (02) :449-462

[5] AMERICAN CAPPED CALL OPTIONS ON DIVIDEND-PAYING ASSETS [J].

BROADIE, M ;

DETEMPLE, J .

REVIEW OF FINANCIAL STUDIES, 1995, 8 (01) :161-191

[6]

Carr P., 1992, Mathematical Finance, V2, P87

[7]

CHIARELLA C, 2004, MCKEANS METHOD APPL

[8]

Dettman J. W, 1965, Applied Complex Variables

[9]

ELLIOTT RJ, 1990, 9119 U ALB STAT CTR

[10] THE AMERICAN PUT OPTION VALUED ANALYTICALLY [J].

GESKE, R ;

JOHNSON, HE .

JOURNAL OF FINANCE, 1984, 39 (05) :1511-1524

← 1 2 3 →