In this paper, we extend the lower-upper bound approximation (LUBA) idea of Broadie and Detemple [Broadie, M., Detemple, J., (1996) American option valuation: New bounds, approximations, and comparison of existing methods. Review of Financial Studies. 9(4): 1211-1250] to the Laplace space. We...

In this paper, we construct tight lower and upper bounds for the price of an American strangle, which is a special type of strangle consisting of long positions in an American put and an American call, where the early exercise of one side of the position will knock-out the remaining side. This...