A systematic approach for valuing American-style installment options with continuous payment plan
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KeywordsInstallment options; free boundary problem; incomplete Fourier transforms; integral representations;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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