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Laplace Transforms and the American Call Option

  • Ghada Alobaidi
  • Roland Mallier

Summary

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.

Keywords

Integral Equation Free Boundary Option Price Free Boundary Problem American Option 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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