Combining the PDE and Laplace transform approaches, we obtain the Laplace transform of the initial premium in an explicit form, which is decomposed into the ...

AMERICAN CONTINUOUS-INSTALLMENT OPTIONS: VALUATION AND PREMIUM DECOMPOSITION*. TOSHIKAZU KIMURAt. Abstract. Installment options are weakly path-dependent ...

VALUATION AND PREMIUM DECOMPOSITION. ∗. TOSHIKAZU KIMURA†. Abstract ... This premium decomposition enables us to derive concise Laplace transforms for ...

This paper deals with valuing American continuous-installment options written on dividend-paying assets and obtains the Laplace transform of the initial ...

The integral representation (10) expresses that the value at time t of this call option can be decomposed into a sum of the corresponding vanilla European call ...

A interesting feature of this method is the determination of the three components in which the initial premium has been decomposed via integral representation.

Installment options are path-dependent contingent claims in which the premium is paid discretely or continuously in installments, instead of paying a lump ...

"The Valuation of American Barrier Options Using the Decomposition Technique," New York University, Leonard N. Stern School Finance Department Working Paper ...

Installment options are weakly path-dependent contingent claims in which the premium is paid discretely or continuously in installments, instead of paying a ...

An integral representations for option price and two free boundaries of this option are obtained using the decomposition technique. We also gain the semi-closed.