Valuation of European continuous-installment options
Author:
Publisher
Elsevier BV
Subject
Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation
Reference31 articles.
1. Pricing, no-arbitrage bounds and robust hedging of instalment options;Davis;Quantitative Finance,2001
2. Installment options and static hedging;Davis;Journal of Risk Finance,2002
3. The valuation of corporate liabilities as compound options;Geske;Journal of Financial and Quantitative Analysis,1977
4. On the evaluation of compound options;Selby;Management Science,1987
5. A dynamic programming approach to price installment options;Ben-Ameur;European Journal of Operational Research,2006
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