Document Type: Research Paper
Faculty of Mathematical Sciences, University of Tabriz, Tabriz, Iran
Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran
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.