Efficient Numerical Valuation of Continuous Installment Options (Q4919278)
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scientific article; zbMATH DE number 6161698
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Numerical Valuation of Continuous Installment Options |
scientific article; zbMATH DE number 6161698 |
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Efficient Numerical Valuation of Continuous Installment Options (English)
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8 May 2013
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installment options
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Black-Scholes equation
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numerical inverse Laplace transform
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Gaver-Stehfest method
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Euler summation method
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optimal stopping problem
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non-monotonic stopping boundary
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