American Continuous-Installment Options: Valuation and Premium Decomposition
โ Scribed by Kimura, Toshikazu
- Book ID
- 118192586
- Publisher
- Society for Industrial and Applied Mathematics
- Year
- 2009
- Tongue
- English
- Weight
- 283 KB
- Volume
- 70
- Category
- Article
- ISSN
- 0036-1399
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
In this paper, we propose an alternative approach for pricing and hedging American barrier options. Speci"cally, we obtain an analytic representation for the value and hedge parameters of barrier options, using the decomposition technique of separating the European option value from the early exerci
In this paper, we present an integral equation approach for the valuation of Americanstyle installment derivatives when the payment plan is assumed to be a continuous function of the asset price and time. The contribution of this study is threefold. First, we show that in the Black-Scholes model the