This paper derives accurate and efficient analytic approximations for the prices of both European American continuous-installment call put options. The solutions are in form series time-to-expiry with explicit formulae coefficients provided. Unlike other installment options, no Laplace inverses needed, there is need to solve complex, recursive systems or integral equations. provided fast yield ...

The role of ordinary options in facilitating the completion of securities markets is examined in the context of a model of contingent claims sufficiently general to accommodate the continuous distributions of asset pricing theory and option pricing theory. In this context, it is shown that call options written on a single security approximately span all contingent claims written on this securit...

This paper defines the criteria under which early exercise of an American option is never optimal, whether positive or negative rates, and gives a short analysis various shapes region interest rates. It then presents new integral equation, establishes price two early-exercise boundaries shows how to solve this equation through modifications modern efficient algorithm Andersen Lake, from changes...