Valuation of American continuous-installment options
From MaRDI portal
Publication:2575454
DOI10.1007/s10614-005-6279-4zbMath1075.91018OpenAlexW2150792830MaRDI QIDQ2575454
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
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items
American continuous-installment options of barrier type, Valuation of European continuous-installment options, Pricing American continuous-installment options under stochastic volatility model, THE VALUATION OF CALLABLE-PUTTABLE REVERSE CONVERTIBLE BONDS, Analysis of an optimal stopping problem arising from hedge fund investing, An integral representation approach for valuing American-style installment options with continuous payment plan, Unnamed Item, VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH, A variational inequality arising from American installment call options pricing, Analytic valuation of European continuous-installment barrier options, Valuation for an American continuous-installment put option on bond under Vasicek interest rate model, Valuing continuous-installment options
Cites Work
- Number of paths versus number of basis functions in American option pricing
- A dynamic programming approach to price installment 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
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Valuing American Options by Simulation: A Simple Least-Squares Approach
