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