Pricing, no-arbitrage bounds and robust hedging of instalment options

DOI10.1080/713666004zbMath1405.91608OpenAlexW1512569191MaRDI QIDQ4646512

Mark H. A. Davis, Walter Schachermayer, Robert G. Tompkins

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/713666004

zbMATH Keywords

hedgingpricinginstallment options

Mathematics Subject Classification ID

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

Related Items (10)

American continuous-installment options of barrier type ⋮ Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options ⋮ Relative Entropy Criterion and CAPM-Like Pricing ⋮ 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 ⋮ Unnamed Item ⋮ Analytic valuation of European continuous-installment barrier options ⋮ Valuing continuous-installment options ⋮ A dynamic programming approach to price installment options

This page was built for publication: Pricing, no-arbitrage bounds and robust hedging of instalment options