scientific article; zbMATH DE number 1642339

MaRDI QIDQ2741101zbMATH OpenFDO

Authors Mark H. A. Davis, Walter Schachermayer, Robert G. Tompkins

Publication date 18 November 2001

zbMATH Keywords

European optionhedging strategiesinstallmentspricing bounds

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Pricing, no-arbitrage bounds and robust hedging of instalment options
• A dynamic programming approach to price installment options
• Instalment Options: A Closed-Form Solution and the Limiting Case
• Valuing continuous-installment options
• American continuous-installment options: valuation and premium decomposition

Cited in

(5)

• A dynamic programming approach to price installment options
• Instalment Options: A Closed-Form Solution and the Limiting Case
• A numerical method to determine the optimal stopping boundary for installment option
• The pricing of dual-expiry exotics
• Installment options close to expiry

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2741101)