Installment options close to expiry
نویسندگان
چکیده
منابع مشابه
Installment Options Close to Expiry
In the last thirty years, there has been a dramatic growth in the trading of options, which are contracts between two parties giving one party the right but not the obligation to partake in a financial transaction with the other party at or before a specified date in the future. The majority of options involve the right to buy or sell an underlying asset at a prescribed price, known as the stri...
متن کاملPricing Installment Options with an Application to ASX Installment Warrants
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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One of the classic problems of mathematical finance is the pricing of American options and the behavior of the optimal exercise boundary close to expiry. For the uninitiated, financial derivatives are securities whose value is based on the value of some other underlying security, and options are an example of derivatives, carrying the right but not the obligation to enter into a specified trans...
متن کاملValuing continuous-installment options
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...
متن کاملValuing American Continuous-Installment Options
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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ژورنال
عنوان ژورنال: Journal of Applied Mathematics and Stochastic Analysis
سال: 2006
ISSN: 1048-9533,1687-2177
DOI: 10.1155/jamsa/2006/60824