Valuation of European continuous-installment options

DOI10.1016/j.camwa.2011.04.073zbMath1231.91428OpenAlexW2071516839MaRDI QIDQ660913

Pierangelo Ciurlia

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

zbMATH Keywords

free boundary probleminstallment optionintegral representation method

Mathematics Subject Classification ID

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

Cites Work

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