Efficient Numerical Valuation of Continuous Installment Options
نویسندگان
چکیده
منابع مشابه
Valuation of American Continuous-Installment Options
We present three approaches to value American continuous-installment calls and puts and compare their computational precision. In an American continuous-installment option, the premium is paid continuously instead of up-front. At or before maturity, the holder may terminate payments by either exercising the option or stopping the option contract. Under the usual assumptions, we are able to cons...
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Installment options are path-dependent contingent claims in which the premium is paid discretely or continuously in installments, instead of paying a lump sum at the time of purchase. This paper deals with valuing European continuous-installment options written on dividend-paying assets in the standard Black-Scholes-Merton framework. The valuation of installment options can be formulated as a f...
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Installment options are weakly path-dependent contingent claims in which the premium is paid discretely or continuously in installments, instead of paying a lump sum at the time of purchase. This paper deals with valuing American continuousinstallment options written on dividend-paying assets. The setup is a standard Black-Scholes-Merton framework where the price of the underlying asset evolves...
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Abstract: In this paper we consider a parabolic variational inequality arising from the valuation of European installment put options. We prove the existence and uniqueness of the solution to the problem. Moreover, we obtain C∞ regularity and the bounds of the free boundary. Eventually we show its numerical result by the binomial method.
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In the present paper we explore the problem for pricing discrete barrier options utilizing the Black–Scholes model for the random movement of the asset price. We postulate the problemas a path integral calculation by choosing approach that is similar to the quadrature method. Thus, the problem is reduced to the estimation of a multi-dimensional integral whose dimension corresponds to the number...
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ژورنال
عنوان ژورنال: Advances in Applied Mathematics and Mechanics
سال: 2011
ISSN: 2070-0733,2075-1354
DOI: 10.4208/aamm.10-m1025