American continuous-installment options of barrier type

DOI10.1007/S11424-013-0310-YzbMATH Open1377.91157OpenAlexW2108811930MaRDI QIDQ890621FDOQ890621

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

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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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• Valuation of American continuous-installment options
• American Continuous-Installment Options: Valuation and Premium Decomposition
• A Variational Inequality Arising from European Installment Call Options Pricing
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• LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
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• Valuation of European continuous-installment options
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Cited In (5)

• Perpetual cancellable American options with convertible features
• Analytic valuation of European continuous-installment barrier options
• A barrier option of American type
• Title not available (Why is that?)
• Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment

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