Analytic solution for American strangle options using Laplace–Carson transforms

Applications of a novel integral transform to partial differential equations

“…Kudinov [13] explored the heat-exchange problem by Laplace-Carson transform (LCT). Kang et al [11] analyzed American strangle-options problem. Watugala [15] discussed the control engineering problem by Sumudu transform (ST).…”

American strangle options with arbitrary strikes

“…Chiarella and Ziogas (2005) overcome some problems with the Laplace transform using the Fourier one. Alternatively, Kang et al (2017) use the Laplace–Carlson transform. An approach based on deriving the limits for the boundaries by the use of capping is presented by Ma et al (2018).…”

Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment

“…In recent years, many researchers have proposed exotic American style options with various approaches. Based on the Laplace-Carson Transform (LCT) approach, Park and Jeon [13] and Kang et al [14] obtained numerically the prices of American knock-out options with rebate and American strangle options, respectively. Zaevski [15] proposed a new form of the early exercise premium for the American type options using the technique of stopping times.…”

“…Wong and Lau [24] studied exotic path-dependent options and provided an efficient and accurate approach for valuing the options under the MRL model. Motivated by these works and the work of Kang et al [14], we consider the MRL model for the underlying asset as an extensional work for the American strangle option pricing. We used the partial differential equation (PDE) approach to present the pricing formula of the American strangle option under the MRL model explicitly.…”