Fast and reliable valuation of instalment options in foreign exchange trading


Diplomarbeit Wirtschaftsmathematik, TU Berlin (in Englisch)

Master's Thesis in Financial Mathematics, Halmstad University, Sweden


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Description

References for Installment Options (Pay-as-you-go options, Continuation options) and Compound options):

  1. E. Agliardi and R. Agliardi, A generalization of the Geske formula for compound options, Mathematical Social Sciences 45 (2003), 75-82.
  2. R. Agliardi, Options to expand and to contract in combination, Applied Mathematics Letters 20 (2007), 790-794
  3. G. Alobaidi, R. Mallier and A.S. Deakin, Laplace transforms and installment options, Mathematical Models & Methods in Applied Sciences 14 (2004), 1167-1189.
  4. G. Alobaidi and R. Mallier, Installment options close to expiry, Journal of Applied Mathematics and Stochastic Analysis (2006), 1-9.
  5. A.K. Bhattcaharya, Interestrate caps and floors and compound options, Chapter 26 In: Fabozzi, F.J. (Ed.), The Handbook of Fixed Income Securities, 7th Ed. McGraw-Hill, NY, 2005, pp. 1283-1300.
  6. H. Ben-Hameur, M. Breton and P. Francois, A Dynamic Programming Approach to price Installment Options, Europ. J. Oper. Research 169 (2006), 667-676.
  7. P. Carr, The valuation of sequential exchange opportunities, J. Finance 43 (1988), 1235-1256.
  8. D. Cassimon, P.J. Engelen, L. Thomassen and M. Van Wouwe, The valuation of a NDA Using a 6-fold Compound Option, Research Policy 33 (2004), 41-51.
  9. D. Cassimon, P.J. Engelen, L. Thomassen and M. Van Wouwe, Closed-form valuation of American call options on stocks paying multiple dividends, Finance Research Letters 4 (2007), 33-48.
  10. D.M. Chance, Compound Option Pricing, Teaching Note TN98-05, 2008.
  11. R.R. Chen, The extended Geske-Johnson model and its consistency with reduced form models, Working Paper. Rutgers Business School, Rutgers University, 2003.
  12. P. Ciurlia and I. Roko, Valuation of American Continuous-Installment Options, Comput. Economics. 1-2 (2005), 143-165.
  13. G. Cortazar and E.S. Schwartz, A compound option model of production and intermediate inventories, Journal of Business 66 (1993), 517-540.
  14. M. Davis, W. Schachermayer and R. Tompkins, Pricing, no-arbitrage bounds and robust hedging of instalment options, Quantitative Finance 1 (2001), 597-610.
  15. M. Davis, W. Schachermayer and R. Tompkins, Installment options and static hedging, J. Risk Fin. 3 (2002), 46-52.
  16. J. Fouque and C. Han, Evaluation of Compound Options using Perturbation Approximation, J. Comput. Finance 9 (2005),
  17. W.T. Lin, Computing a Multivariate Normal Integral for Valuing Compound Real Options, Review of Quantitative Finance and Accounting 18 (2002), 185-209.
  18. R. Geske, The Valuation of Corporate Liabilities as Compound Options, Journal of Financial and Quantitative Analysis 12 (1977), 541-552.
  19. R. Geske, The Valuation of Compound Options, Journal of Financial Economics 7 (1979), 63-81.
  20. R. Geske, A Note on an Analytical Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends, Journal of Financial Economics 7 (1979), 375-380.
  21. R. Geske, Comments on Whaley's Note, Journal of Financial Economics 7 (1981), 213-215.
  22. R. Geske and H.E. Johnson, The Valuation of Corporate Liabilities As Compound Options: A Correction, Journal of Financial and Quantitative Analysis 19 (1984), 231-232.
  23. P. Gong, Z.He and S.P.Zhu, Pricing convertible bonds based on a multi-stage compound option model, Physica A 336 (2006), 449-462.
  24. S. Griebsch, Installment Optionen, Diploma Thesis (in german), 2004.
  25. S. Griebsch, C. Kühn and U. Wystup, Instalment Options: A Closed-Form Solution and the Limiting Case, Working Paper Series of FS: Centre for Practical Quantitative Finance 5, Frankfurt am Main, 2007.
  26. C.R. Gukhal, The compound option approach to American options on jump-diffusions, Journal of Economic Dynamics & Control 28 (2004), 2055-2074.
  27. S.D. Hodges and M.J.P. Selby, On the Evaluation of Compound Options, Management Science 33 (1987), 347-355.
  28. J. Hull, Options, Futures and Other Derivatives, 5th Edition 2002.
  29. F. Karsenty and J. Sikorav, Installment plan, Risk Mag. 6 (1993), 36-40.
  30. T. Kimura, Valuing Continuous-Installment Options, Discussion Paper Series A 2007-184 Graduate School of Economics and Business Administration, Hokkaido University, July 2007.
  31. T. Kimura, Valuing American Continuous-Installment Options, Discussion Paper Series A 2007-185 Graduate School of Economics and Business Administration, Hokkaido University, July 2007.
  32. F. Lajeri-Chaherli, A note on the valuation of compound options, J. Futures Markets 22 (2002), 1103-1115.
  33. M.-Y. Lee, F.-B. Yeh and A.-P. Chenc, The generalized sequential compound options pricing and sensitivity analysis, Mathematical Social Sciences 55 (2008), 38-54.
  34. S.J. Li and S.-H. Li, Generalization of exotic options pricing formulae, Journal of Zhejiang University: Science 7 (2006), 584-590.
  35. S. Majd and R. S. Pindyck, Time to build, option value and investment decisions, J. Fin. Econ. 18 (1987) 7-27.
  36. S. Remer, S.H. Ang, C. BadenFuller, Dealing with uncertainties in the biotechnology industry: the use of real options reasoning, J. Commercial Biotechnology 8 (2001), 95-105.
  37. R. Roll, An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends, Journal of Financial Economics 7 (1977), 251-258.
  38. M. Rubinstein, Double Trouble, Risk 5 (1973), 73.
  39. M. Rubinstein, Options for the undecided, In: Tompkins, R. (Ed.), From Black Scholes to Black Holes - New Frontiers in Options. Risk Publication, UK, 1992, pp. 187-189.
  40. H. Schilling, Compound Options, In: Foreign Exchange Risk, Risk Publications, London, 2002.
  41. M. Schroder, A reduction method applicable to compound option formulas, Management Science 35 (1989), 823-827.
  42. M.J.P. Selby and S.D. Hodges, On the Evaluation of Compound Options, Management Science 33 (1987), 347-355.
  43. L. Thomassen and M. van Wouve, The N-fold Compound Option, Research paper 2001-041, Faculty of Applied Economics, University of Antwerpen.
  44. L. Thomassen and M. van Wouve, A Sensitivity Analysis of the N-fold Compound Option, Research paper 2002-014, Faculty of Applied Economics, University of Antwerpen.
  45. L. Thomassen, J. Van Casteren and M. van Wouve, Decomposition of the N-fold Compound Option, Research paper 2002-040, Faculty of Applied Economics, University of Antwerpen.
  46. L. Thomassen and M. van Wouve, The compound option: an overview, In: 2nd Actuarial and Financial Mathematics Day, 6th February 2004, M. Vanmaele (ed.), Brussels, Royal Flemish Academy of Sciences and Art, 2004, pp. 95-104.
  47. R.E. Whaley , On the Valuation of American Call Options on Stocks with Known Dividends, Journal of Financial Economics 9 (1981), 207-211.
  48. P.G. Zhang, Exotic Options, World Scientific, 2nd edition, Singapure 1998, Chapter 31.

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