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.
Beiranvand, A., Neisy, A., & Ivaz, K. (2016). Mathematical analysis and pricing of the European continuous installment call option. Journal of Mathematical Modeling, 4(2), 171-185.
MLA
Ali Beiranvand; Abdolsadeh Neisy; Karim Ivaz. "Mathematical analysis and pricing of the European continuous installment call option". Journal of Mathematical Modeling, 4, 2, 2016, 171-185.
HARVARD
Beiranvand, A., Neisy, A., Ivaz, K. (2016). 'Mathematical analysis and pricing of the European continuous installment call option', Journal of Mathematical Modeling, 4(2), pp. 171-185.
VANCOUVER
Beiranvand, A., Neisy, A., Ivaz, K. Mathematical analysis and pricing of the European continuous installment call option. Journal of Mathematical Modeling, 2016; 4(2): 171-185.
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