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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Griebsch, Susanne | en |
dc.contributor.author | Kühn, Christoph | en |
dc.contributor.author | Wystup, Uwe | en |
dc.date.accessioned | 2010-09-09 | - |
dc.date.accessioned | 2010-09-24T09:03:56Z | - |
dc.date.available | 2010-09-24T09:03:56Z | - |
dc.date.issued | 2007 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aCPQF Working Paper Series |x5 | en |
dc.subject.jel | C15 | en |
dc.subject.jel | G12 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | exotic options | en |
dc.subject.stw | Optionsgeschäft | en |
dc.subject.stw | Black-Scholes-Modell | en |
dc.subject.stw | Theorie | en |
dc.title | Instalment options: a closed-form solution and the limiting case | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 829981217 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cpqfwp:5 | en |
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