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The American straddle close to expiry

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.

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Correspondence to Ghada Alobaidi.

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Open Access This article is distributed under the terms of the Creative Commons Attribution 2.0 International License ( https://creativecommons.org/licenses/by/2.0 ), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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Alobaidi, G., Mallier, R. The American straddle close to expiry. Bound Value Probl 2006, 32835 (2006). https://doi.org/10.1155/BVP/2006/32835

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  • DOI: https://doi.org/10.1155/BVP/2006/32835

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