@techreport{Griebsch2007Instalment,
abstract = {In Foreign Exchange Markets Compound options (options on options) are traded frequently. Instalment options generalize the concept of Compound options as they allow the holder to prolong a Vanilla Call or Put option by paying instalments of a discrete payment plan. We derive a closed-form solution to the value of such an option in the Black-Scholes model and prove that the limiting case of an Instalment option with a continuous payment plan is equivalent to a portfolio consisting of a European Vanilla option and an American Put on this Vanilla option with a time-dependent strike.},
address = {Frankfurt, M.},
author = {Susanne Griebsch and Christoph K\"{u}hn and Uwe Wystup},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C15; G12; 330; exotic options; Optionsgesch\"{a}ft; Black-Scholes-Modell; Theorie},
language = {eng},
number = {5},
publisher = {Frankfurt School of Finance & Management},
title = {Instalment options: a closed-form solution and the limiting case},
type = {CPQF Working Paper Series},
url = {http://hdl.handle.net/10419/40180},
year = {2007}
}
