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A note on the perpetual American straddle

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  • Obradović, Lazar

    (Center for Mathematical Economics, Bielefeld University)

Abstract

The value and the optimal exercise time of the perpetual American straddle is characterized by the unique solution of a single non-linear equation with one unknown variable.

Suggested Citation

  • Obradović, Lazar, 2016. "A note on the perpetual American straddle," Center for Mathematical Economics Working Papers 559, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:559
    as

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    File URL: https://pub.uni-bielefeld.de/download/2903703/2903704
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    References listed on IDEAS

    as
    1. Gerber, Hans U. & Shiu, Elias S.W., 1994. "Martingale Approach to Pricing Perpetual American Options," ASTIN Bulletin, Cambridge University Press, vol. 24(2), pages 195-220, November.
    2. Franck Moraux, 2009. "On perpetual American strangles," Post-Print halshs-00393811, HAL.
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