scientific article; zbMATH DE number 6881914

zbMath1398.91599MaRDI QIDQ4564888

Ali Beiranvand, Karim Ivaz

Publication date: 7 June 2018

Full work available at URL: http://static.bsu.az/w24/V8N2/pp223-235.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

free boundary problemBlack-Scholes modelinstallment optionforeign currencyfront fixing method

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Installment options close to expiry
• Valuing continuous-installment options
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• Monte Carlo methods for security pricing
• Power penalty method for a linear complementarity problem arising from American option valuation
• Valuation of American continuous-installment options
• American Continuous-Installment Options: Valuation and Premium Decomposition
• Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
• Pricing, no-arbitrage bounds and robust hedging of instalment options
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
• Option pricing: A simplified approach
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