American continuous-installment options of barrier type

DOI10.1007/S11424-013-0310-YMaRDI QIDQ890621zbMATH OpenOpenAlexFDO

Authors Guohe Deng

Publication date 10 November 2015

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-013-0310-y

zbMATH Keywords

numerical implementationinstallment optionsAmerican barrier option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A Variational Inequality Arising from European Installment Call Options Pricing
• A barrier option of American type
• A dynamic programming approach to price installment options
• A variational inequality arising from American installment call options pricing
• American continuous-installment options: valuation and premium decomposition
• An integral representation approach for valuing American-style installment options with continuous payment plan
• Evaluation of American strangles
• LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
• On a general class of free boundary problems for European-style installment options with continuous payment plan
• PDE methods for pricing barrier options
• Pricing algorithms of multivariate path dependent options
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Pricing, no-arbitrage bounds and robust hedging of instalment options
• The valuation of American barrier options using the decomposition technique
• Valuation of American continuous-installment options
• Valuation of American option in a double exponential jump-diffusion model with stochastic volatility
• Valuation of European continuous-installment options
• Valuing continuous-installment options

Cited in

(6)

• Perpetual cancellable American options with convertible features
• Analytic valuation of European continuous-installment barrier options
• A barrier option of American type
• scientific article; zbMATH DE number 2065147 (Why is no real title available?)
• Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment
• American continuous-installment options: valuation and premium decomposition

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