Instalment Options: A Closed-Form Solution and the Limiting Case

DOI10.1007/978-3-540-69532-5_12zbMath1153.91500OpenAlexW1825679490MaRDI QIDQ3528737

Christoph Kühn, Uwe Wystup, Susanne A. Griebsch

Publication date: 17 October 2008

Published in: Mathematical Control Theory and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-69532-5_12

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (5)

Valuation of European continuous-installment options ⋮ Pricing American continuous-installment options under stochastic volatility model ⋮ An integral representation approach for valuing American-style installment options with continuous payment plan ⋮ Analytic valuation of European continuous-installment barrier options ⋮ Valuation of American continuous-installment options

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