Pricing, no-arbitrage bounds and robust hedging of installment options

An installment option is a European option in which the premium, instead of being paid up-front, is paid in a series of installments. If all installments are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the option lapses with no further payments on either side. ...

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Year of publication:	2000-11-07
Authors:	Schachermayer, Walter ; Davis, Mark ; Tompkins, Robert
Publisher:	Institut für Informationsverarbeitung und -wirtschaft <Wien>

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Extent:	1024 bytes 41 p. application/pdf
Series:	Wirtschaftsuniversität Wien - Forschungsbezogene elektronische Publikationen
Type of publication:	Book / Working Paper
Language:	English
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; G13 - Contingent Pricing; Futures Pricing ; Subject matter and research method of business administration ; Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; Europe. General Resources
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841632