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CPQF Working Paper Series, Frankfurt School of Finance and Management >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/40180
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Griebsch, Susanne | | en_US |
| dc.contributor.author | | Kühn, Christoph | | en_US |
| dc.contributor.author | | Wystup, Uwe | | en_US |
| dc.date.accessioned | | 2010-09-09 | | en_US |
| dc.date.accessioned | | 2010-09-24T09:03:56Z | | - |
| dc.date.available | | 2010-09-24T09:03:56Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/40180 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Frankfurt School of Finance & Management Frankfurt, M. | | en_US |
| dc.relation.ispartofseries | | CPQF Working Paper Series 5 | | en_US |
| dc.subject.jel | | C15 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | exotic options | | en_US |
| dc.subject.stw | | Optionsgeschäft | | en_US |
| dc.subject.stw | | Black-Scholes-Modell | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Instalment options: a closed-form solution and the limiting case | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 550245103 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:cpqfwp:5 | | - |
| Appears in Collections: | | CPQF Working Paper Series, Frankfurt School of Finance and Management
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