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Numerical algorithms for the valuation of installment options

Araújo, Sofia Sande de

Mestrado em Matemática Financeira; Installment options are financial derivatives in which part of the initial premium is paid up-front and the other part is paid discretely or continuously in installments during the option’s lifetime. This work deals with the numerical valuation of European installment options. Trough the study of the continuous case, we can show that numerical inversion of Laplace transform wo...

Date: 2012   |   Origin: Repositório da UTL
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