A dynamic programming approach to price installment options
نویسندگان
چکیده
منابع مشابه
A dynamic programming approach to price installment options
Installment options are Bermudan-style options where the holder periodically decides whether to exercise or not and then to keep the option alive or not (by paying the installment). We develop a dynamic programming procedure to price installment options. We study in particular the geometric Brownian motion case and derive some theoretical properties of the IO contract within this framework. We ...
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Installment options are Bermudan-style options where the holder periodically decides whether to exercise or not and then to keep the option alive or not (by paying the installment). We develop a dynamic programming procedure to price installment options. We derive the range of installments within which the installment option is not redundant with the European contract. Simulations analysis show...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2006
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2004.05.009