Valuation of American continuous-installment options
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Publication:2575454
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Cites work
- A dynamic programming approach to price installment options
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
- Instalment Options: A Closed-Form Solution and the Limiting Case
- Number of paths versus number of basis functions in American option pricing
- Optimal Stopping and the American Put
- Valuing American options by simulation: a simple least-squares approach
Cited in
(21)- Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
- scientific article; zbMATH DE number 1491042 (Why is no real title available?)
- Valuation of European continuous-installment options
- A variational inequality arising from American installment call options pricing
- American continuous-installment options: valuation and premium decomposition
- American continuous-installment options of barrier type
- Valuation of installment option by penalty method
- VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH
- Analytic valuation of European continuous-installment barrier options
- An integral representation approach for valuing American-style installment options with continuous payment plan
- Valuation of American continuous-installment options
- Valuing continuous-installment options
- Efficient numerical valuation of continuous installment options
- A numerical method to determine the optimal stopping boundary for installment option
- Valuation of American continuous-installment put options
- Pricing American continuous-installment options under stochastic volatility model
- American Option Valuation under Continuous-Time Markov Chains
- Analysis of an optimal stopping problem arising from hedge fund investing
- Valuation of American passport option using a three-time level scheme
- The valuation of callable-puttable reverse convertible bonds
- Instalment Options: A Closed-Form Solution and the Limiting Case
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