Mathematical analysis and pricing of the European continuous installment call option

Document Type: Research Paper

Authors

1 Faculty of Mathematical Sciences, University of Tabriz, Tabriz, Iran

2 Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran

Abstract

In this paper we consider the European continuous installment call option. Then  its linear complementarity formulation is given. Writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. Finally finite element method is applied to price the European continuous installment call option.

Keywords