Pricing American continuous-installment options under stochastic volatility model
DOI10.1016/J.JMAA.2014.11.049zbMATH Open1302.91181OpenAlexW2065144444MaRDI QIDQ482015FDOQ482015
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Volterra integral equations (45D05)
Cites Work
- The pricing of options and corporate liabilities
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- Title not available (Why is that?)
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- A variational inequality arising from American installment call options pricing
- American options with stochastic dividends and volatility: a nonparametric investigation
- Valuing continuous-installment options
- Changes of numéraire, changes of probability measure and option pricing
- American option pricing under stochastic volatility: an efficient numerical approach
- A dynamic programming approach to price installment options
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- On a general class of free boundary problems for European-style installment options with continuous payment plan
- American options exercise boundary when the volatility changes randomly
- Valuation of American continuous-installment options
- Instalment Options: A Closed-Form Solution and the Limiting Case
- American continuous-installment options: valuation and premium decomposition
- A Variational Inequality Arising from European Installment Call Options Pricing
- Pricing, no-arbitrage bounds and robust hedging of instalment options
- Efficient Numerical Valuation of Continuous Installment Options
- LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
- An integral representation approach for valuing American-style installment options with continuous payment plan
- Valuation of European continuous-installment options
- Installment options close to expiry
Cited In (8)
- Perpetual cancellable American options with convertible features
- 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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