The so‐called American strangle options are examined in this paper. Their main
characteristic is the combined put and call feature. The holder has the right to exercise …

This paper presents a generalisation of McKean's free boundary value problem for American
options by considering an American strangle position, where exercising one side of the …

An installment option is a derivative financial security where the price is paid in installments
instead of as a lump sum at the time of purchase. The valuation of these options involves a …

In this paper, we show that the double optimal stopping boundaries for American strangle
options with finite horizon can be characterized as the unique pair of solution to a system of …

We consider the American option pricing problem in the case where the underlying asset
follows a jump‐diffusion process. We apply the method of Jamshidian to transform the …

The aim of this paper is to examine some American-style financial instruments that lead to
two-sided optimal hitting problems. We pay particular attention to derivatives that are similar …

This paper looks at adapting a recent approach found in the literature for pricing short-term
American options to price American straddle options with two free boundaries. We provide a …

This paper introduces variants of strangles, called Euro-American or hybrid strangles, and it
promotes a new numerical pricing technique. We highlight and compare the properties of …

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 …

There is a large number of sources devoted to the American style options. On the other
hand, the American futures contracts are understudied in the scientific literature. This …