Pricing European and American Installment Options

This paper derives accurate and efficient analytic approximations for the prices of both European and American continuous-installment call and put options. The solutions are in the form of series in time-to-expiry with explicit formulae for the coefficients provided. Unlike other solutions for insta...

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Bibliographic Details
Main Authors: Joanna Goard, Mohammed AbaOud
Format: Article
Language:English
Published: MDPI AG 2022-09-01
Series:Mathematics
Subjects:
Online Access:https://www.mdpi.com/2227-7390/10/19/3494