In this paper we present an integral equation approach for the valuation of American-style installment derivatives when the premium payments, made continuously throughout the contract’s life, are assumed to be a function of the asset price and time. The contribution of this study is...

This paper is concerned with the pricing of European continuous-installment options where the aim is to determine the initial premium given the installment payments schedule. The particular feature of this pricing problem is the determination, along with the initial premium, of an optimal...