Valuing continuous-installment options
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Publication:1044158
DOI10.1016/j.ejor.2009.02.010zbMath1177.91130OpenAlexW1996203697MaRDI QIDQ1044158
Publication date: 10 December 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2009.02.010
Related Items (12)
On convergence of Laplace inversion for the American put option under the CEV model ⋮ American continuous-installment options of barrier type ⋮ Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options ⋮ Pricing and applications of digital installment options ⋮ Valuation of European continuous-installment options ⋮ Pricing American continuous-installment options under stochastic volatility model ⋮ ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS ⋮ THE VALUATION OF CALLABLE-PUTTABLE REVERSE CONVERTIBLE BONDS ⋮ An integral representation approach for valuing American-style installment options with continuous payment plan ⋮ Unnamed Item ⋮ Efficient valuation of a variable annuity contract with a surrender option ⋮ Analytic valuation of European continuous-installment barrier options
Uses Software
Cites Work
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- The Pricing of Options and Corporate Liabilities
- Installment options close to expiry
- The Fourier-series method for inverting transforms of probability distributions
- Valuing finite-lived Russian options
- A dynamic programming approach to price installment options
- Valuation of American continuous-installment options
- Pricing, no-arbitrage bounds and robust hedging of instalment options
- LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
- Randomization and the American Put
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