Shout options: A framework for pricing contracts which can be modified by the investor

DOI10.1016/S0377-0427(00)00551-3zbMath1017.91060MaRDI QIDQ5946736

H. Windcliff, Peter A. I. Forsyth, Kenneth Vetzal

Publication date: 14 October 2001

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

interpolation; linear complementarity; shout options

Mathematics Subject Classification ID

90C33: Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)

Related Items

OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT, Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data, Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature, Implicit-explicit Runge-Kutta methods for financial derivatives pricing models, A parabolic variational inequality arising from the valuation of strike reset options, An object-oriented framework for valuing shout options on high-performance computer architectures, Infinite reload options: pricing and analysis, Valuation of segregated funds: shout options with maturity extensions., A penalty method for American options with jump diffusion processes, Numerical Methods and Volatility Models for Valuing Cliquet Options

Cites Work

• Unnamed Item
• An object-oriented framework for valuing shout options on high-performance computer architectures
• A second order backward difference method with variable steps for a parabolic problem
• Penalty methods for American options with stochastic volatility
• Valuation of segregated funds: shout options with maturity extensions.
• Valuation of Commodity-Based Swing Options
• Some mathematical results in the pricing of American options
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• Volatility skews and extensions of the Libor market model