Valuation of European continuous-installment options
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Publication:660913
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Cites work
- A dynamic programming approach to price installment options
- A fast high-order finite difference algorithm for pricing American options
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- American continuous-installment options: valuation and premium decomposition
- Brownian agents and active particles. Collective dynamics in the natural and social sciences. With a foreword by J. Doyne Farmer.
- Conservation laws and asymptotic behavior of a model of social dynamics
- Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Installment options close to expiry
- Instalment Options: A Closed-Form Solution and the Limiting Case
- LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
- Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model
- Number of paths versus number of basis functions in American option pricing
- On optimal stopping and free boundary problems
- ON THE EXISTENCE OF LIMIT CYCLES IN OPINION FORMATION PROCESSES UNDER TIME PERIODIC INFLUENCE OF PERSUADERS
- Optimal Stopping and the American Put
- Pricing, no-arbitrage bounds and robust hedging of instalment options
- Towards a mathematical theory of complex socio-economical systems by functional subsystems representation
- Valuation of American continuous-installment options
- Valuing continuous-installment options
Cited in
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- Pricing and applications of digital installment options
- Analytic valuation of European continuous-installment barrier options
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- Mathematical analysis and pricing of the European continuous installment call option
- scientific article; zbMATH DE number 5284193 (Why is no real title available?)
- American continuous-installment options: valuation and premium decomposition
- Valuation of American continuous-installment options
- A numerical method to determine the optimal stopping boundary for installment option
- Pricing American continuous-installment options under stochastic volatility model
- Efficient numerical valuation of continuous installment options
- Optimal surrender time for a variable annuity with a fixed insurance fee
- Valuation of American continuous-installment put options
- THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS
- An integral representation approach for valuing American-style installment options with continuous payment plan
- Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options
- On a general class of free boundary problems for European-style installment options with continuous payment plan
- Modeling and pricing European-style continuous-installment option under the Heston stochastic volatility model: a PDE approach
- American continuous-installment options of barrier type
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