Laplace Transforms and the American Call Option

  • Ghada Alobaidi
  • Roland Mallier


A partial Laplace transform is used to study the valuation of American call options with constant dividend yield, and to derive an integral equation for the location of the optimal exercise boundary, which is the main result of this paper.

The integral equation differs depending on whether the dividend yield is less than or exceeds the risk-free rate.


Integral Equation Free Boundary Option Price Free Boundary Problem American Option 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2008

Authors and Affiliations

  • Ghada Alobaidi
    • 1
  • Roland Mallier
    • 2
  1. 1.Department of MathematicsAmerican University of SharjahSharjahUnited Arab Emirates
  2. 2.Department of Applied MathematicsUniversity of Western OntarioLondonCanada

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