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Valuation of European continuous-installment options

✍ Scribed by Pierangelo Ciurlia

Book ID
113511919
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
707 KB
Volume
62
Category
Article
ISSN
0898-1221

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πŸ“œ SIMILAR VOLUMES

The valuation of European options when a
The valuation of European options when asset returns are autocorrelated
✍ Szu-Lang Liao; Chao-Chun Chen πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 156 KB πŸ‘ 1 views

## Abstract This article derives the closed‐form formula for a European option on an asset with returns following a continuous‐time type of first‐order moving average process, which is called an MA(1)‐type option. The pricing formula of these options is similar to that of Black and Scholes, except

An integral representation approach for
An integral representation approach for valuing American-style installment options with continuous payment plan
✍ Pierangelo Ciurlia πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 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