Add to ORKGWe 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. Copyright © 2006 G. Alobaidi and R. Mallier. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, dis-tribution, and reproduction in any medium, provided the original work is properly cited. 1
The major characteristic of the cancellable American options is the existing writer’s right to cance...
We consider series solutions for the location of the optimal exercise boundary of an American option...
This paper is concerned with the valuation of European continuous-installment options where the aim ...
Installment options are Bermudan-style options where the holder period-ically decides whether to exe...
An installment option is a European option in which the premium, in-stead of being paid up-front, is...
A perpetual continuous-installment option is an infinite maturity option in which the premium is pai...
This paper derives accurate and efficient analytic approximations for the prices of both European an...
Abstract. American call options are financial derivatives that give the holder the right but not the...
An installment option is a European option in which the premium, instead of being paid up-front, is ...
While options do generally demonstrate an increase in prices as time increases, an annualized return...
We present three approaches to value American continuous-installment calls and puts and compare thei...
American call options are financial derivatives that give the holder the right but not the obligatio...
We present three approaches to value American continuous-installment options written on assets witho...
We consider series solutions for the location of the optimal exercise boundary of an American option...
Abstract. We use an asymptotic expansion to study the behavior of the American put option close to e...
The major characteristic of the cancellable American options is the existing writer’s right to cance...
We consider series solutions for the location of the optimal exercise boundary of an American option...
This paper is concerned with the valuation of European continuous-installment options where the aim ...
Installment options are Bermudan-style options where the holder period-ically decides whether to exe...
An installment option is a European option in which the premium, in-stead of being paid up-front, is...
A perpetual continuous-installment option is an infinite maturity option in which the premium is pai...
This paper derives accurate and efficient analytic approximations for the prices of both European an...
Abstract. American call options are financial derivatives that give the holder the right but not the...
An installment option is a European option in which the premium, instead of being paid up-front, is ...
While options do generally demonstrate an increase in prices as time increases, an annualized return...
We present three approaches to value American continuous-installment calls and puts and compare thei...
American call options are financial derivatives that give the holder the right but not the obligatio...
We present three approaches to value American continuous-installment options written on assets witho...
We consider series solutions for the location of the optimal exercise boundary of an American option...
Abstract. We use an asymptotic expansion to study the behavior of the American put option close to e...
The major characteristic of the cancellable American options is the existing writer’s right to cance...
We consider series solutions for the location of the optimal exercise boundary of an American option...
This paper is concerned with the valuation of European continuous-installment options where the aim ...