Valuation of European continuous-installment options
type: Item
instance of: scholarly article
title: Valuation of European continuous-installment options
zbMATH Open document ID: 1231.91428
author: Pierangelo Ciurlia
publication date: 2012-02-05T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6003434
zbMATH Keywords: installment option
zbMATH Keywords: free boundary problem
zbMATH Keywords: integral representation method
MaRDI profile type: Publication
full work available at URL: j.camwa.2011.04.073
OpenAlex ID: W2071516839
cites work: Pricing, no-arbitrage bounds and robust hedging of instalment options
cites work: A dynamic programming approach to price installment options
cites work: Valuation of American continuous-installment options
cites work: LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
cites work: Installment options close to expiry
cites work: Valuing continuous-installment options
cites work: American Continuous-Installment Options: Valuation and Premium Decomposition
cites work: Instalment Options: A Closed-Form Solution and the Limiting Case
cites work: Brownian agents and active particles. Collective dynamics in the natural and social sciences. With a foreword by J. Doyne Farmer.
cites work: Towards a mathematical theory of complex socio-economical systems by functional subsystems representation
cites work: Conservation laws and asymptotic behavior of a model of social dynamics
cites work: ON THE EXISTENCE OF LIMIT CYCLES IN OPINION FORMATION PROCESSES UNDER TIME PERIODIC INFLUENCE OF PERSUADERS
cites work: MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL
cites work: Q4905685
cites work: Optimal Stopping and the American Put
cites work: ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
cites work: Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
cites work: On optimal stopping and free boundary problems
cites work: A fast high-order finite difference algorithm for pricing American options
cites work: Number of paths versus number of basis functions in American option pricing
DOI: 10.1016/J.CAMWA.2011.04.073
published in: Computers & Mathematics with Applications
Recommended article: Valuing continuous-installment options
Recommended article: Q3640843
Recommended article: Valuation of American continuous-installment options
Recommended article: Analytic valuation of European continuous-installment barrier options
Recommended article: Valuation of American continuous-installment put options
Recommended article: VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH
Recommended article: Q2951727
Recommended article: Efficient Numerical Valuation of Continuous Installment Options
Recommended article: Valuation of European options with stochastic interest rates and transaction costs
Recommended article: American Continuous-Installment Options: Valuation and Premium Decomposition
description: scientific article; zbMATH DE number 6003434