An integral representation approach for valuing American-style installment options with continuous payment plan

DOI10.1016/j.na.2011.03.066zbMath1217.91179OpenAlexW2047236313MaRDI QIDQ555073

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

zbMATH Keywords

free boundary problemintegral representationsincomplete Fourier transforminstallment options

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Related Items (2)

American continuous-installment options of barrier type ⋮ Pricing American continuous-installment options under stochastic volatility model

Cites Work

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• Installment options close to expiry
• A variational inequality arising from American installment call options pricing
• Valuing continuous-installment 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
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Pricing, no-arbitrage bounds and robust hedging of instalment options
• LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS

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