Valuation of installment option by penalty method

MaRDI QIDQ4625306zbMATH OpenFDO

Authors Ali Beiranvand, K. Ivaz

Publication date 22 February 2019

Full work available at URL http://cmde.tabrizu.ac.ir/article_5005.html

zbMATH Keywords

Black-Scholes modelfree boundary probleminstallment optionpenalty method

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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(3)

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• Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options

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