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Valuation of installment option by penalty method | ||
| Computational Methods for Differential Equations | ||
| مقاله 6، دوره 3، شماره 4، دی 2015، صفحه 298-310 اصل مقاله (134.01 K) | ||
| نوع مقاله: Research Paper | ||
| نویسندگان | ||
| Ali Beiranvand؛ Karim Ivaz* | ||
| Faculty of Mathematical Sciences, University of Tabriz, Tabriz, Iran | ||
| چکیده | ||
| In this paper, installment options on the underlying asset which evolves according to Black-Scholes model and pays constant dividend to its owner will be considered. Applying arbitrage pricing theory, the non-homogeneous parabolic partial differential equation governing the value of installment option is derived. Then, penalty method is used to value the European continuous installment call option. | ||
| کلیدواژهها | ||
| Installment option؛ Black-Scholes model؛ penalty method؛ Free boundary problem | ||
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آمار تعداد مشاهده مقاله: 1,358 تعداد دریافت فایل اصل مقاله: 1,219 |
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