Mathematical analysis and pricing of the European continuous installment call option
نویسندگان
چکیده مقاله:
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.
منابع مشابه
mathematical analysis and pricing of the european continuous installment call option
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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عنوان ژورنال
دوره 4 شماره 2
صفحات 171- 185
تاریخ انتشار 2016-11-05
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