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1. The American straddle close to expiry

Author

Mallier Roland and Alobaidi Ghada

Subjects
Analysis, QA299.6-433
Abstract

We address the pricing of American straddle options. We use a technique due to Kim (1990) to derive an expression involving integrals for the price of such an option close to expiry. We then evaluate this expression on the dual optimal exercise boundaries to obtain a set of integral equations for the location of these exercise boundaries, and solve these equations close to expiry.

Published
2006

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