Journal ArticleDOI
Valuing continuous-installment options
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TLDR
Valuing European continuous-installment options written on dividend-paying assets in the standard Black-Scholes-Merton framework using the Laplace transform approach, which results in explicit Laplace transforms of the initial premium as well as its Greeks, which include the transformed stopping boundary in a closed form.About:
This article is published in European Journal of Operational Research.The article was published on 2010-02-16. It has received 28 citations till now. The article focuses on the topics: Optimal stopping & Black–Scholes model.read more
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Proceedings Article
Pricing American continuous-installment put option in a jump-diffusion model
TL;DR: In this article, the integral equation for the price of an American continuous-installment put option in the case where the stock price follows a double exponential jump-diffusion model using the Fourier inversion transform approach is presented.
Journal ArticleDOI
Pricing and applications of digital installment options
Pierangelo Ciurlia,Andrea Gheno +1 more
TL;DR: By means of the Incomplete Fourier Transform, the pricing problem is solved in order to find integral representations of the upfront price for European call and put options.
References
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Journal ArticleDOI
The Pricing of Options and Corporate Liabilities
Fischer Black,Myron S. Scholes +1 more
TL;DR: In this paper, a theoretical valuation formula for options is derived, based on the assumption that options are correctly priced in the market and it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks.
Book
Investment Under Uncertainty
Avinash Dixit,Robert S. Pindyck +1 more
TL;DR: In this article, Dixit and Pindyck provide the first detailed exposition of a new theoretical approach to the capital investment decisions of firms, stressing the irreversibility of most investment decisions, and the ongoing uncertainty of the economic environment in which these decisions are made.
Book
Theory of rational option pricing
TL;DR: In this paper, the authors deduced a set of restrictions on option pricing formulas from the assumption that investors prefer more to less, which are necessary conditions for a formula to be consistent with a rational pricing theory.
Journal ArticleDOI
The valuation of compound options
TL;DR: In this article, the authors present a theory for pricing options on options, or compound options, which can be generalized to value many corporate liabilities, and derive a new model for puts and calls corrects some important biases of the Black-Scholes model.