An integral representation approach for valuing American-style installment options with continuous payment plan
DOI10.1016/J.NA.2011.03.066zbMATH Open1217.91179OpenAlexW2047236313MaRDI QIDQ555073FDOQ555073
Authors: Pierangelo Ciurlia 
Publication date: 22 July 2011
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2011.03.066
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Derivative securities (option pricing, hedging, etc.) (91G20) Initial-boundary value problems for second-order parabolic equations (35K20) Free boundary problems for PDEs (35R35) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10)
Cites Work
- Optimal Stopping and the American Put
- A variational inequality arising from American installment call options pricing
- Valuing continuous-installment options
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- A dynamic programming approach to price installment options
- 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
- LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
- Installment options close to expiry
- Title not available (Why is that?)
Cited In (4)
- Pricing American continuous-installment options under stochastic volatility model
- American continuous-installment options of barrier type
- On a general class of free boundary problems for European-style installment options with continuous payment plan
- Pricing and applications of digital installment options
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