Installment options close to expiry
type: Item
instance of: scholarly article
title: Installment options close to expiry
zbMATH Open document ID: 1140.91372
DOI: 10.1155/JAMSA/2006/60824
published in: Journal of Applied Mathematics and Stochastic Analysis
publication date: 2008-08-15T00:00:00Z
full work available at URL: https://eudml.org/doc/54321
review text: Summary: We use an asymptotic expansion to study the behavior of installment options close to expiry. Installment options are contracts where the price is paid over the life of the option rather than as a lump sum at the time of purchase, and where the contract can be allowed to lapse at any time. Series solutions are obtained for the location of the free boundary and the price of the option.
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5312405
author: G. Alobaidi
author: R. Mallier
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 5312405