Valuation of American continuous-installment options
DOI10.1007/S10614-005-6279-4zbMATH Open1075.91018OpenAlexW2150792830MaRDI QIDQ2575454FDOQ2575454
Authors: Pierangelo Ciurlia, Ilir Roko 
Publication date: 9 December 2005
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-005-6279-4
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- Optimal Stopping and the American Put
- Valuing American options by simulation: a simple least-squares approach
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- A dynamic programming approach to price installment options
- Number of paths versus number of basis functions in American option pricing
- Instalment Options: A Closed-Form Solution and the Limiting Case
- Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
Cited In (21)
- Analysis of an optimal stopping problem arising from hedge fund investing
- 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
- Valuation of American passport option using a three-time level scheme
- A numerical method to determine the optimal stopping boundary for installment option
- Valuation of American continuous-installment options
- Instalment Options: A Closed-Form Solution and the Limiting Case
- Valuing continuous-installment options
- American continuous-installment options of barrier type
- VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH
- Valuation of installment option by penalty method
- Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
- An integral representation approach for valuing American-style installment options with continuous payment plan
- Valuation of European continuous-installment options
- Valuation of American continuous-installment put options
- Title not available (Why is that?)
- American Option Valuation under Continuous-Time Markov Chains
- American continuous-installment options: valuation and premium decomposition
- Efficient numerical valuation of continuous installment options
- The valuation of callable-puttable reverse convertible bonds
This page was built for publication: Valuation of American continuous-installment options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2575454)
