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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