Efficient numerical valuation of continuous installment options

DOI10.4208/AAMM.10-M1025MaRDI QIDQ4919278zbMATH OpenOpenAlexFDO

Authors

Publication date 8 May 2013

Published in Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5537

zbMATH Keywords

Black-Scholes equationEuler summation methodGaver-Stehfest methodinstallment optionsnon-monotonic stopping boundarynumerical inverse Laplace transformoptimal stopping problem

Mathematics Subject Classification ID

Laplace transform (44A10) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Composite media; random media in optics and electromagnetic theory (78A48)

Recommendations

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Cited in

(2)

• Pricing American continuous-installment options under stochastic volatility model
• Valuation of European continuous-installment options

Describes a project that uses

Uses Software

• Algorithm 368

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