Valuation of installment option by penalty method
نویسندگان
چکیده مقاله:
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 option.
منابع مشابه
valuation of installment option by penalty method
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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عنوان ژورنال
دوره 3 شماره 4
صفحات 298- 310
تاریخ انتشار 2015-10-01
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