Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment
نویسندگان
چکیده
This paper investigates the American strangle option in a mean-reversion environment. When underlying asset follows mean-reverting lognormal process, an analytic pricing formula for is explicitly provided. To present formula, we consider partial differential equation (PDE) options with two optimal stopping boundaries and use Mellin transform techniques to derive integral representation arising from PDE. A Monte Carlo simulation used as benchmark validate formula’s accuracy efficiency. In addition, numerical examples are provided demonstrate effects of on prices characteristics respect several significant parameters.
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ژورنال
عنوان ژورنال: Mathematics
سال: 2022
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math10152688