Valuation of American continuous-installment options

DOI10.1007/S10614-005-6279-4MaRDI QIDQ2575454zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

free boundary-value probleminstallment optionintegral representation method

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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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

(22)

• A variational inequality arising from American installment call options pricing
• Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
• Valuing continuous-installment options
• Analysis of an optimal stopping problem arising from hedge fund investing
• Analytic valuation of European continuous-installment barrier options
• Valuation of American passport option using a three-time level scheme
• Instalment Options: A Closed-Form Solution and the Limiting Case
• The valuation of callable-puttable reverse convertible bonds
• American continuous-installment options: valuation and premium decomposition
• VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH
• Valuation of American continuous-installment options
• scientific article; zbMATH DE number 1491042 (Why is no real title available?)
• A numerical method to determine the optimal stopping boundary for installment option
• Valuation of installment option by penalty method
• Pricing American continuous-installment options under stochastic volatility model
• Efficient numerical valuation of continuous installment options
• Valuation of American continuous-installment put options
• American Option Valuation under Continuous-Time Markov Chains
• An integral representation approach for valuing American-style installment options with continuous payment plan
• Valuation of European continuous-installment options
• Short communication: amortizing perpetual options
• American continuous-installment options of barrier type

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