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ArticleA dynamic programming approach to price installment options

Hatem Ben‐Ameur2004

Article2004

A dynamic programming approach to price installment options

Hatem Ben‐Ameur · Michèle Breton · Pascal François

33 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1977The Valuation of Corporate Liabilities as Compound Options 1994Option pricing: Mathematical models and computation 1990Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives 2001Pricing, no-arbitrage bounds and robust hedging of instalment options 1970A MODEL OF WARRANT PRICING IN A DYNAMIC MARKET 2002A Dynamic Programming Procedure for Pricing American-Style Asian Options 2002Installment Options and Static Hedging

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2009Valuing continuous-installment options 2005Valuation of American Continuous-Installment Options

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Year2004

Typearticle

Published2004-08-04

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2004.05.009

openalex_workW2015378169

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