On a general class of free boundary problems for European-style installment options with continuous payment plan

DOI10.3934/CPAA.2011.10.1205zbMath1233.91260OpenAlexW1980819154MaRDI QIDQ652031

Pierangelo Ciurlia

Publication date: 19 December 2011

Published in: Communications on Pure and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/cpaa.2011.10.1205

zbMATH Keywords

free boundary problemsincomplete Fourier transformcontinuous payment planEuropean installment optionsrecursive integral equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

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American continuous-installment options of barrier type ⋮ Ratchet consumption over finite and infinite planning horizons ⋮ Pricing American continuous-installment options under stochastic volatility model

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