LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS

DOI10.1142/S0218202504003581zbMath1102.91042MaRDI QIDQ5315616

Roland Mallier, Ghada Alobaidi, A. S. Deakin

Publication date: 9 September 2005

Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (13)

A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model ⋮ American continuous-installment options of barrier type ⋮ Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options ⋮ Valuation of European continuous-installment options ⋮ COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS ⋮ Pricing American continuous-installment options under stochastic volatility model ⋮ Installment options close to expiry ⋮ THE VALUATION OF CALLABLE-PUTTABLE REVERSE CONVERTIBLE BONDS ⋮ An integral representation approach for valuing American-style installment options with continuous payment plan ⋮ Unnamed Item ⋮ A variational inequality arising from American installment call options pricing ⋮ Analytic valuation of European continuous-installment barrier options ⋮ Valuing continuous-installment options

Cites Work

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• The Pricing of Options and Corporate Liabilities
• On optimal stopping and free boundary problems
• Asymptotic analysis of American call options
• Laplace transforms and the American straddle
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Optimal exercise boundary for an American put option
• Laplace transforms and American options
• A Note on a Moving Boundary Problem Arising in the American Put Option
• American options on assets with dividends near expiry
• Stefan-like problems
• On the optimal exercise boundary for an American put option

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