Installment options close to expiry

DOI10.1155/JAMSA/2006/60824zbMath1140.91372MaRDI QIDQ937477

Ghada Alobaidi, Roland Mallier

Publication date: 15 August 2008

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/54321

Mathematics Subject Classification ID

Related Items (8)

Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options ⋮ Valuation of European continuous-installment options ⋮ PENALTY AMERICAN 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

Cites Work

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