This paper investigates the valuation of European continuous-installment strangle options
written on dividend-paying underlying assets in the standard Black-Scholes framework. In …

This paper introduces variants of strangles, called Euro-American or hybrid strangles, and it
promotes a new numerical pricing technique. We highlight and compare the properties of …

A strangle is the simultaneous purchase of an out-of-the-money call and an out-of-the-
money put with the same expiration dates. If the options are both European, only one can be …

The aim of this paper is to extend the lattice method proposed by Ritchken and Trevor
(1999) for pricing American options with one-dimensional stochastic volatility models to the …

How is one to make the best choice among sequentially presented options when no recall is
possible? Many scenarios in economics can be reduced to this question. In the well known …

As noted by many authors, the Black-Scholes model despite being very successful, does not
have many desired properties of a market model. One relatively simple attempt to add extra …

This thesis investigates the financial decisions through the theory of American and Exotic
options. First, the literature on American-style derivatives is surveyed. The pricing of the …

A note on the perpetual American straddle Page 1 Obradović, Lazar Working Paper A note
on the perpetual American straddle Center for Mathematical Economics Working Papers, No …

A stock price X t evolves according to jump diffusion process with certain parameters. An
asset manager who holds a strangle option on that stock, wants to maximize his/her …

3.2 Properties on the gain function 47 3.3 Construction of the function h 50 3.3. 1 A veraging
Functions.. 50 3.3. 2 The function h (x, a).. 53 3.4 Left semi-solution for the optimal stopping …