Articlehybrid2006

Installment options close to expiry

17 citations0/0 files storedInternational Journal of Stochastic Analysis

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Differential Equations and Boundary Problems

Abstract

We use an asymptotic expansion to study the behavior of installment options close to expiry. Installment options are contracts where the price is paid over the life of the option rather than as a lump sum at the time of purchase, and where the contract can be allowed to lapse at any time. Series solutions are obtained for the location of the free boundary and the price of the option.

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References

1973The Pricing of Options and Corporate Liabilities 1994Investment Under Uncertainty.1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1987Time to build, option value, and investment decisions 2015Rational Theory of Warrant Pricing 2006Paul Wilmott on Quantitative Finance 1995CRITICAL STOCK PRICE NEAR EXPIRATION

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