Evaluation of American strangles

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dc.contributor.author Chiarella, Carl en_US
dc.contributor.author Ziogas, Andrew en_US
dc.date.accessioned 2009-12-21T02:36:44Z
dc.date.available 2009-12-21T02:36:44Z
dc.date.issued 2005 en_US
dc.identifier 2005000623 en_US
dc.identifier.citation Chiarella Carl and Ziogas Andrew 2005, 'Evaluation of American strangles', Elsevier Science Bv, vol. 29, no. 1-2, pp. 31-62. en_US
dc.identifier.issn 0165-1889 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5117
dc.description.abstract 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 i en_US
dc.publisher Elsevier Science Bv en_US
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon http://dx.doi.org/10.1016/j.jedc.2003.04.010 en_US
dc.rights NOTICE: This is the author’s version of a work that was accepted for publication by Elsevier. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published by Elsevier. en_US
dc.title Evaluation of American strangles en_US
dc.parent Journal Of Economic Dynamics & Control en_US
dc.journal.volume 29 en_US
dc.journal.number 1-2 en_US
dc.publocation Amsterdam, Netherlands en_US
dc.identifier.startpage 31 en_US
dc.identifier.endpage 62 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140200 en_US
dc.personcode 716350 en_US
dc.personcode 001068 en_US
dc.percentage 100 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.custom 0.477 en_US
dc.description.keywords American options; coupled Volterra integral equation; incomplete Fourier transform; free-boundary problem en_US
dc.staffid 001068 en_US


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