Laplace Transform Method for Pricing American CEV Strangles Option with Two Free Boundaries

Algorithm 1

Algorithm for solving and .

1:Step 1. Let , , , .

2:Step 2. Do the following loop:

3:while   or   do

4:Let = floor and = floor.

5:Solve linear system (13) with boundary and .

6:% Finite difference approximation (6).

7:if    then

8:;

9:else

10:;

11:end if

12:% Finite difference approximation (7).

13:if    then

14:;

15:else

16:.

17:end if

18:end while

19:Step 3. Output and .