Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/40180
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dc.contributor.authorGriebsch, Susanneen_US
dc.contributor.authorKühn, Christophen_US
dc.contributor.authorWystup, Uween_US
dc.date.accessioned2010-09-09en_US
dc.date.accessioned2010-09-24T09:03:56Z-
dc.date.available2010-09-24T09:03:56Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/40180-
dc.description.abstractIn 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.isoengen_US
dc.publisher|aFrankfurt School of Finance & Management |cFrankfurt, M.en_US
dc.relation.ispartofseries|aCPQF Working Paper Series |x5en_US
dc.subject.jelC15en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordexotic optionsen_US
dc.subject.stwOptionsgeschäften_US
dc.subject.stwBlack-Scholes-Modellen_US
dc.subject.stwTheorieen_US
dc.titleInstalment options: a closed-form solution and the limiting caseen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn829981217en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cpqfwp:5-

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