A note on the perpetual American straddle

The value and the optimal exercise time of the perpetual American straddle is characterized by the unique solution of a single non-linear equation with one unknown variable.

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Year of publication:	2016
Authors:	Obradović, Lazar
Publisher:	Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW)
Subject:	Knightian Uncertainty \| Ambiguity \| General Equilibrium

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Series:	Center for Mathematical Economics Working Papers ; 559
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	862927900 [GVK] hdl:10419/149016 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011582525