American Continuous-Installment Options: Valuation and Premium Decomposition

DOI10.1137/080740969zbMath1192.91180OpenAlexW1999286745MaRDI QIDQ3575175

Toshikazu Kimura

Publication date: 7 July 2010

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080740969

zbMATH Keywords

Laplace transformsAmerican optionsperpetual optionspremium decompositioncontinuous installmentsexercise and stopping regions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

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American continuous-installment options of barrier type ⋮ An integral equation representation approach for valuing Russian options with a finite time horizon ⋮ Valuation of European continuous-installment options ⋮ Pricing American continuous-installment options under stochastic volatility model ⋮ ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS ⋮ Analytic solution for American strangle options using Laplace-Carson transforms ⋮ 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 ⋮ Analytic valuation of European continuous-installment barrier options

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