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Applied Mathematical Finance Volume 7, 2000 - Issue 4
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Original Articles

Laplace transforms and American options

Roland Mallier
&
Ghada Alobaidi
Pages 241-256 | Published online: 14 Oct 2010

Citations (15)

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Guillaume Leduc. (2008) Exercisability Randomization of the American Option. Stochastic Analysis and Applications 26:4, pages 832-855.
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Articles from other publishers (14)

Khadijeh Nedaiasl, Ali Foroush Bastani & Aysan Rafiee. (2019) A product integration method for the approximation of the early exercise boundary in the American option pricing problem. Mathematical Methods in the Applied Sciences 42:8, pages 2825-2841.
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Jingtang Ma, Zhiqiang Zhou & Zhenyu Cui. (2017) Hybrid Laplace transform and finite difference methods for pricing American options under complex models. Computers & Mathematics with Applications 74:3, pages 369-384.
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Zhiqiang Zhou & Xuemei Gao. (2017) Laplace Transform Methods for a Free Boundary Problem of Time-Fractional Partial Differential Equation System. Discrete Dynamics in Nature and Society 2017, pages 1-9.
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Sihun Jo, Minsuk Yang & Geonwoo Kim. (2016) On convergence of Laplace inversion for the American put option under the CEV model. Journal of Computational and Applied Mathematics 305, pages 36-43.
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Xiaoping Lu & Endah R.M. Putri. (2015) Semi-analytic valuation of stock loans with finite maturity. Communications in Nonlinear Science and Numerical Simulation 27:1-3, pages 206-215.
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Edgard Ngounda & Kailash C. Patidar. (2015) Limitations and improvements of standard spectral methods for pricing standard options. International Journal of Advances in Engineering Sciences and Applied Mathematics 7:3, pages 106-113.
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TUMELLANO SEBEHELA. (2015) THE "DELTA" OF THE MARGRABE FORMULA. Annals of Financial Economics 09:03, pages 1450007.
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Franck Moraux. (2009) On Perpetual American Strangles. The Journal of Derivatives 16:4, pages 82-97.
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G. Alobaidi & R. Mallier. (2006) Installment options close to expiry. Journal of Applied Mathematics and Stochastic Analysis 2006, pages 1-9.
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GHADA ALOBAIDI, ROLAND MALLIER & A. STANLEY DEAKIN. (2011) LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS. Mathematical Models and Methods in Applied Sciences 14:08, pages 1167-1189.
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Ghada Alobaidi & Roland Mallier. (2004) Interest rate options close to expiry. SUT Journal of Mathematics 40:1.
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Jingtang Ma, Zhiqiang Zhou & Zhenyu Cui. (2017) Hybrid Laplace Transform and Finite Difference Methods for Pricing American Options under Complex Models. SSRN Electronic Journal.
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Tumellano Sebehela. (2013) The Link Between Exchange Option and Laplace Transform. SSRN Electronic Journal.
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Robert Frontczak. (2012) Option Pricing in Jump Diffusions: A New Integral-Based Framework for European and American Options. SSRN Electronic Journal.
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