American strangle options with arbitrary strikes
研究了美国跨式期权，允许任意执行价和不同的看跌看涨权重，推导了永久期权的提前行权边界方程，并用数值方法求解有限到期期权的价格。
Abstract 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 prematurely choosing the option's style—put or call. We abandon the traditional assumption that the put strike is below the call one considering arbitrary values. We also assume that the put and call weights are different. The equations for the early exercise boundaries are derived in the perpetual case. After that we approximate numerically these boundaries for the finite maturity options maximizing the option holder's utility. On the basis of them we apply a Crank–Nicolson finite difference method to the corresponding Black–Scholes‐style partial differential equation to obtain the fair option price.