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A variational inequality arising from American installment call options pricing · Study

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ArticleA variational inequality arising from American installment call options pricing

Zhou Yang2009

OA

Articlebronze2009

A variational inequality arising from American installment call options pricing

Zhou Yang · Fahuai Yi

17 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1990The Analytic Valuation of American Options 2007A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options 1998Optimal exercise boundary for an American put option 2004LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS 2002Installment Options and Static Hedging

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2008A Variational Inequality Arising from European Installment Call Options Pricingarticle · 7 shared references 2010PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHODarticle · 6 shared references 2006Installment options close to expiryarticle · 6 shared references 2006A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONSarticle · 5 shared references 2000Laplace transforms and American optionsarticle · 5 shared references 2009Valuing continuous-installment optionsarticle · 5 shared references

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Year2009

Typearticle

Published2009-03-30

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jmaa.2009.03.045

openalex_workW2037669449

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