THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS

DOI10.1142/S021902491750025XzbMath1396.91725MaRDI QIDQ5281720

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Publication date: 26 July 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationfinite difference methodsAsian optionsBlack-Scholes' partial differential equationself-funding instalment warrants

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Perturbation methods in applied mathematics
• Essentially exact asymptotic solutions for Asian derivatives
• Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
• Numerical Solution of Partial Differential Equations
• Asymptotic Approximations for Asian, European, and American Options with Discrete Averaging or Discrete Dividend/Coupon Payments
• Options on a traded account: Vacation calls, vacation puts and passport options

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