Pricing American continuous-installment options under stochastic volatility model

DOI10.1016/J.JMAA.2014.11.049MaRDI QIDQ482015zbMATH OpenOpenAlexFDO

Authors Guohe Deng

Publication date 19 December 2014

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2014.11.049

zbMATH Keywords

stochastic volatility modelVolterra integral equationsAmerican continuous-installment option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Volterra integral equations (45D05)

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Cites work

• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• A Variational Inequality Arising from European Installment Call Options Pricing
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A dynamic programming approach to price installment options
• A variational inequality arising from American installment call options pricing
• American continuous-installment options: valuation and premium decomposition
• American option pricing under stochastic volatility: an efficient numerical approach
• American options exercise boundary when the volatility changes randomly
• American options with stochastic dividends and volatility: a nonparametric investigation
• An integral representation approach for valuing American-style installment options with continuous payment plan
• Changes of numéraire, changes of probability measure and option pricing
• Efficient numerical valuation of continuous installment options
• Installment options close to expiry
• Instalment Options: A Closed-Form Solution and the Limiting Case
• LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
• On a general class of free boundary problems for European-style installment options with continuous payment plan
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Pricing, no-arbitrage bounds and robust hedging of instalment options
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities
• Valuation of American continuous-installment options
• Valuation of European continuous-installment options
• Valuing continuous-installment options

Cited in

(9)

• Perpetual cancellable American options with convertible features
• Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing
• American option pricing under two stochastic volatility processes
• A variational inequality arising from American installment call options pricing
• A robust numerical simulation of a fractional Black-Scholes equation for pricing American options
• A robust numerical solution to a time-fractional Black-Scholes equation
• Pricing, no-arbitrage bounds and robust hedging of instalment options
• Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
• Valuation of American continuous-installment put options

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