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dc.contributor.authorGriebsch, Susanneen_US
dc.contributor.authorKühn, Christophen_US
dc.contributor.authorWystup, Uween_US
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.publisherFrankfurt School of Finance & Management Frankfurt, M.en_US
dc.relation.ispartofseriesCPQF Working Paper Series 5en_US
dc.subject.keywordexotic optionsen_US
dc.titleInstalment options: a closed-form solution and the limiting caseen_US
dc.typeWorking Paperen_US
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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