Pricing and applications of digital installment options

DOI10.1155/2012/584705zbMath1264.91124OpenAlexW2044703589WikidataQ58906188 ScholiaQ58906188MaRDI QIDQ1952891

Pierangelo Ciurlia, Andrea Gheno

Publication date: 3 June 2013

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/584705

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Valuing continuous-installment options
• A dynamic programming approach to price installment options
• A Variational Inequality Arising from European Installment Call Options Pricing
• VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH