mathematical analysis and pricing of the european continuous installment call option

Authors

ali beiranvand

faculty of mathematical sciences, university of tabriz, tabriz, iran abdolsadeh neisy

faculty of economics, allameh tabataba'i university, tehran, iran karim ivaz

faculty of mathematical sciences, university of tabriz, tabriz, iran

abstract

in this paper we consider the european continuous installment call option. then  its linear complementarity formulation is given. writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. finally finite element method is applied to price the european continuous installment call option.

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Journal title:
journal of mathematical modeling

جلد ۴، شماره ۲، صفحات ۱۷۱-۱۸۵

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