آمار
| تعداد نشریات | 43 |
| تعداد شمارهها | 1,253 |
| تعداد مقالات | 15,411 |
| تعداد مشاهده مقاله | 51,245,960 |
| تعداد دریافت فایل اصل مقاله | 14,254,213 |
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 | ||
|
آمار تعداد مشاهده مقاله: 1,119 تعداد دریافت فایل اصل مقاله: 1,040 |
||