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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 contract was studied in Chiarella and Ziogas (J Econ Dyn Control 29:31–62, 2005) with the corresponding nonlinear...
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