Mathematical analysis and pricing of the European continuous installment call option

In this paper we consider the European continuous installment call option. Then  its linear complementarity formulation is given. Writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. Finally finite element method is applied to price the European continuous installment call option.

کلیدواژه ها:

installment option ، Black-Scholes model ، free boundary problem ، variational inequality ، Finite Element Method