A finite element method for pricing of continuous-installment options under a Markov-modulated model: existence, uniqueness, and stability of solutions
Author:
Publisher
Springer Science and Business Media LLC
Subject
Geometry and Topology,Theoretical Computer Science,Software
Link
https://link.springer.com/content/pdf/10.1007/s00500-023-08601-2.pdf
Reference34 articles.
1. Alobaidi G, Mallier R (2006) Installment options close to expiry. J Appl Math Stoch Anal 2006:1–9
2. Alobaidi G, Mallier R, Deakin A (2004) Laplace transforms and installment options. Math Models Methods Appl Sci 14:1167–1189
3. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Polit Econ 81:637–654
4. Buffington J, Elliott RJ (2002) American options with regime switching. Int J Theor Appl Financ 5:497–514
5. Chance DM (2011) Essays in derivatives: risk-transfer tools and topics made easy. Wiley
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