valuation of installment option by penalty method

نویسندگان

ali beiranvand

university of tabriz karim ivaz

university of tabriz

چکیده

in this paper, installment options on the underlying assetwhich evolves according to black-scholes model and pays constant dividendto its owner will be considered. applying arbitrage pricing theory,the non-homogeneous parabolic partial differential equation governingthe value of installment option is derived. then, penalty method is usedto value the european continuous installment call option.

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Valuation of installment option by penalty method

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عنوان ژورنال:
computational methods for differential equations

جلد ۳، شماره ۴، صفحات ۲۹۸-۳۱۰

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