Valuing continuous-installment options
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Deng Guohe & Xue Guangming, 2016. "Valuation of American Continuous-Installment Options Under the Constant Elasticity of Variance Model," Journal of Systems Science and Information, De Gruyter, vol. 4(2), pages 149-168, April.
- Jeon, Junkee & Kim, Geonwoo, 2019. "Pricing European continuous-installment strangle options," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
More about this item
KeywordsFinance Continuous-installment options Free boundary problem Integral representation Laplace transforms;
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