Valuing continuous-installment options
From MaRDI portal
Recommendations
Cites work
- A dynamic programming approach to price installment options
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- Installment options close to expiry
- LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
- Pricing, no-arbitrage bounds and robust hedging of instalment options
- Randomization and the American put
- The Fourier-series method for inverting transforms of probability distributions
- The pricing of options and corporate liabilities
- Valuation of American continuous-installment options
- Valuing finite-lived Russian options
Cited in
(29)- Pricing and applications of digital installment options
- Efficient valuation of a variable annuity contract with a surrender option
- Analytic valuation of European continuous-installment barrier options
- A dynamic programming approach to price installment options
- Valuation of American continuous-installment options
- scientific article; zbMATH DE number 1642339 (Why is no real title available?)
- On convergence of Laplace inversion for the American put option under the CEV model
- Instalment Options: A Closed-Form Solution and the Limiting Case
- Alternative randomization for valuing American options
- The valuation of callable-puttable reverse convertible bonds
- American continuous-installment options: valuation and premium decomposition
- Valuation of American continuous-installment options
- Valuation of the prepayment option of a perpetual corporate loan
- scientific article; zbMATH DE number 1491042 (Why is no real title available?)
- A numerical method to determine the optimal stopping boundary for installment option
- Valuation of installment option by penalty method
- Pricing American continuous-installment options under stochastic volatility model
- Efficient numerical valuation of continuous installment options
- Valuation of American continuous-installment put options
- THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS
- LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
- 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
- Valuation of European continuous-installment options
- Modeling and pricing European-style continuous-installment option under the Heston stochastic volatility model: a PDE approach
- Short communication: amortizing perpetual options
- American continuous-installment options of barrier type
- Installment options close to expiry
This page was built for publication: Valuing continuous-installment options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1044158)
