valuation of installment option by penalty method
نویسندگان
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
In this paper, installment options on the underlying asset which evolves according to Black-Scholes model and pays constant dividend to its owner will be considered. Applying arbitrage pricing theory, the non-homogeneous parabolic partial differential equation governing the value of installment option is derived. Then, penalty method is used to value the European continuous installment call opt...
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عنوان ژورنال:
computational methods for differential equationsجلد ۳، شماره ۴، صفحات ۲۹۸-۳۱۰
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