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dc.contributor.authorGriebsch, Susanneen
dc.contributor.authorKühn, Christophen
dc.contributor.authorWystup, Uween
dc.date.accessioned2010-09-09-
dc.date.accessioned2010-09-24T09:03:56Z-
dc.date.available2010-09-24T09:03:56Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCPQF Working Paper Series |x5en
dc.subject.jelC15en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordexotic optionsen
dc.subject.stwOptionsgeschäften
dc.subject.stwBlack-Scholes-Modellen
dc.subject.stwTheorieen
dc.titleInstalment options: a closed-form solution and the limiting case-
dc.typeWorking Paperen
dc.identifier.ppn829981217en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cpqfwp:5en

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