Pricing, no-arbitrage bounds and robust hedging of instalment options

DOI10.1080/713666004MaRDI QIDQ4646512zbMATH OpenOpenAlexFDO

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

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/713666004

zbMATH Keywords

pricinghedginginstallment options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(13)

• A dynamic programming approach to price installment options
• Modeling and pricing European-style continuous-installment option under the Heston stochastic volatility model: a PDE approach
• Relative Entropy Criterion and CAPM-Like Pricing
• Robust pricing and hedging of double no-touch options
• Analytic valuation of European continuous-installment barrier options
• Pricing American continuous-installment options under stochastic volatility model
• A numerical method to determine the optimal stopping boundary for installment option
• Valuing continuous-installment options
• American continuous-installment options of barrier type
• Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options
• An integral representation approach for valuing American-style installment options with continuous payment plan
• scientific article; zbMATH DE number 1642339 (Why is no real title available?)
• Valuation of European continuous-installment options

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