LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
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Recommendations
- Valuing continuous-installment options
- American continuous-installment options: valuation and premium decomposition
- Installment options close to expiry
- On a general class of free boundary problems for European-style installment options with continuous payment plan
- Laplace transforms and American options
Cites work
- scientific article; zbMATH DE number 3474264 (Why is no real title available?)
- scientific article; zbMATH DE number 3512673 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- A Note on a Moving Boundary Problem Arising in the American Put Option
- American options on assets with dividends near expiry
- Asymptotic analysis of American call options
- CRITICAL STOCK PRICE NEAR EXPIRATION
- Laplace transforms and American options
- Laplace transforms and the American straddle
- On optimal stopping and free boundary problems
- On the optimal exercise boundary for an American put option
- Optimal exercise boundary for an American put option
- Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
- Stefan-like problems
- The pricing of options and corporate liabilities
Cited in
(15)- A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
- The valuation of callable-puttable reverse convertible bonds
- Modeling and pricing European-style continuous-installment option under the Heston stochastic volatility model: a PDE approach
- A variational inequality arising from American installment call options pricing
- Analytic valuation of European continuous-installment barrier options
- Pricing American continuous-installment options under stochastic volatility model
- A numerical method to determine the optimal stopping boundary for installment option
- Comparison of numerical and analytical approximations of the early exercise boundary of American put options
- Valuing continuous-installment options
- American continuous-installment options of barrier type
- Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options
- An integral representation approach for valuing American-style installment options with continuous payment plan
- Valuation of European continuous-installment options
- Installment options close to expiry
- Efficient numerical valuation of continuous installment options
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