Faculty of Mathematical Sciences, University of Tabriz, Tabriz, Iran
Abstract
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.
Beiranvand, A., Ivaz, K. (2015). Valuation of installment option by penalty method. Computational Methods for Differential Equations, 3(4), 298-310.
MLA
Ali Beiranvand; Karim Ivaz. "Valuation of installment option by penalty method". Computational Methods for Differential Equations, 3, 4, 2015, 298-310.
HARVARD
Beiranvand, A., Ivaz, K. (2015). 'Valuation of installment option by penalty method', Computational Methods for Differential Equations, 3(4), pp. 298-310.
VANCOUVER
Beiranvand, A., Ivaz, K. Valuation of installment option by penalty method. Computational Methods for Differential Equations, 2015; 3(4): 298-310.
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