A dynamic programming approach to price installment options

DOI10.1016/J.EJOR.2004.05.009MaRDI QIDQ2570163zbMATH OpenOpenAlexFDO

Authors Hatem Ben-Ameur, Michèle Breton, Pascal François

Publication date 26 October 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2004.05.009

zbMATH Keywords

Dynamic programmingFinanceInstallment optionInstallment warrantOption pricing

Mathematics Subject Classification ID

Dynamic programming (90C39)

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Cites work

• A dynamic programming procedure for pricing American-style Asian options
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• Pricing, no-arbitrage bounds and robust hedging of instalment options
• Some mathematical results in the pricing of American options
• The pricing of options and corporate liabilities

Cited in

(17)

• Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
• Valuing continuous-installment options
• Pricing and applications of digital installment options
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
• Analytic valuation of European continuous-installment barrier options
• Valuation of American continuous-installment options
• scientific article; zbMATH DE number 1642339 (Why is no real title available?)
• Approximation of dynamic programs
• A dynamic programming approach for pricing CDS and CDS options
• A dynamic program for valuing corporate securities
• Pricing American continuous-installment options under stochastic volatility model
• An integral representation approach for valuing American-style installment options with continuous payment plan
• Valuation of European continuous-installment options
• Modeling and pricing European-style continuous-installment option under the Heston stochastic volatility model: a PDE approach
• Short communication: amortizing perpetual options
• American continuous-installment options of barrier type
• The pricing and optimal strategies of callable warrants

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