Valuation of European continuous-installment options
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Publication:660913
DOI10.1016/J.CAMWA.2011.04.073zbMath1231.91428OpenAlexW2071516839MaRDI QIDQ660913
Publication date: 5 February 2012
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2011.04.073
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
American continuous-installment options of barrier type ⋮ Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options ⋮ OPTIMAL SURRENDER TIME FOR A VARIABLE ANNUITY WITH A FIXED INSURANCE FEE ⋮ Pricing American continuous-installment options under stochastic volatility model ⋮ Unnamed Item
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