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

DOI10.1016/J.NA.2011.03.066MaRDI QIDQ555073zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

free boundary problemintegral representationsincomplete Fourier transforminstallment options

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3285476 (Why is no real title available?)
• A Variational Inequality Arising from European Installment Call Options Pricing
• A dynamic programming approach to price installment options
• A variational inequality arising from American installment call options pricing
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• American continuous-installment options: valuation and premium decomposition
• Installment options close to expiry
• Instalment Options: A Closed-Form Solution and the Limiting Case
• LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
• Optimal Stopping and the American Put
• Pricing, no-arbitrage bounds and robust hedging of instalment options
• Valuation of American continuous-installment options
• Valuing continuous-installment options

Cited in

(5)

• Pricing and applications of digital installment options
• Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options
• 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 American continuous-installment options under stochastic volatility model

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