๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

American Continuous-Installment Options: Valuation and Premium Decomposition

โœ 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.


๐Ÿ“œ SIMILAR VOLUMES


The valuation of American barrier option
โœ Bin Gao; Jing-zhi Huang; Marti Subrahmanyam ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 323 KB

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

An integral representation approach for
โœ Pierangelo Ciurlia ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 334 KB

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