Laplace transforms and the American straddle

Laplace Transforms and the American Straddle

together with appropriate boundary conditions, where S is the price of the underlying security and t < T is the time, with T being the expiry time. The parameters in the above equation are the risk-free rate, r, the dividend yield, D0, and the volatility, σ; all of them are assumed constant. In addition, we assume that r > D0 > 0. If an option is European, it can only be exercised at the expira...

A note on the comparison between Laplace and Sumudu transforms

The h-Laplace and q-Laplace transforms

Article history: Received 12 May 2009 Available online 6 October 2009 Submitted by B.S. Thomson

The American Straddle Close to Expiry

One of the classic problems of mathematical finance is the pricing of American options and the behavior of the optimal exercise boundary close to expiry. For the uninitiated, financial derivatives are securities whose value is based on the value of some other underlying security, and options are an example of derivatives, carrying the right but not the obligation to enter into a specified trans...

Laplace Transforms and Its Applications

Laplace transform is a very powerful mathematical tool applied in various areas of engineering and science. With the increasing complexity of engineering problems, Laplace transforms help in solving complex problems with a very simple approach just like the applications of transfer functions to solve ordinary differential equations. This paper will discuss the applications of Laplace transforms...