Pricing and Applications of Digital Installment Options
Joint Authors
Ciurlia, Pierangelo
Gheno, Andrea
Source
Journal of Applied Mathematics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-21, 21 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-10-24
Country of Publication
Egypt
No. of Pages
21
Main Subjects
Abstract EN
For its theoretical interest and strong impact on financial markets, option valuation is considered one of the cornerstones of contemporary mathematical finance.
This paper specifically studies the valuation of exotic options with digital payoff and flexible payment plan.
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.
Several applications in the areas of corporate finance, insurance, and real options are discussed.
Finally, a new type of digital derivative named supercash option is introduced and some payment schemes are also presented.
American Psychological Association (APA)
Ciurlia, Pierangelo& Gheno, Andrea. 2012. Pricing and Applications of Digital Installment Options. Journal of Applied Mathematics،Vol. 2012, no. 2012, pp.1-21.
https://search.emarefa.net/detail/BIM-993396
Modern Language Association (MLA)
Ciurlia, Pierangelo& Gheno, Andrea. Pricing and Applications of Digital Installment Options. Journal of Applied Mathematics No. 2012 (2012), pp.1-21.
https://search.emarefa.net/detail/BIM-993396
American Medical Association (AMA)
Ciurlia, Pierangelo& Gheno, Andrea. Pricing and Applications of Digital Installment Options. Journal of Applied Mathematics. 2012. Vol. 2012, no. 2012, pp.1-21.
https://search.emarefa.net/detail/BIM-993396
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-993396