Sign in to use this feature.

Years

Between: -

Subjects

remove_circle_outline
remove_circle_outline
remove_circle_outline

Journals

Article Types

Countries / Regions

Search Results (1)

Search Parameters:
Keywords = American continuous installment options

Order results
Result details
Results per page
Select all
Export citation of selected articles as:
27 pages, 450 KiB  
Article
Pricing European and American Installment Options
by Joanna Goard and Mohammed AbaOud
Mathematics 2022, 10(19), 3494; https://doi.org/10.3390/math10193494 - 25 Sep 2022
Cited by 1 | Viewed by 2118
Abstract
This paper derives accurate and efficient analytic approximations for the prices of both European and American continuous-installment call and put options. The solutions are in the form of series in time-to-expiry with explicit formulae for the coefficients provided. Unlike other solutions for installment [...] Read more.
This paper derives accurate and efficient analytic approximations for the prices of both European and American continuous-installment call and put options. The solutions are in the form of series in time-to-expiry with explicit formulae for the coefficients provided. Unlike other solutions for installment options, no Laplace inverses are needed, and there is no need to solve complex, recursive systems or integral equations. The formulae provided fast yield and accurate solutions not just for the prices, but also for the critical boundaries. We also compare the solutions with those obtained using an existing method and show that it surpasses it delivering more correct option prices and critical stock prices. Full article
Show Figures

Figure 1

Back to TopTop