Installment Option Valuation by Least Squares with Checking the Solution Convergence

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Hamedinia Hamed; Rezyati Mahdi

Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2020 | Volume:8 | Issue:32 Page(s): 87-108

Download Full-Text

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Persian Verion

View:

476

Download:

Cites:

Information Journal Paper

Title

Installment Option Valuation by Least Squares with Checking the Solution Convergence

Author(s)

Hamedinia Hamed | Rezyati Mahdi | Issue Writer Certificate

Keywords

Exotic OptionQ1

Installment OptionQ1

Least SquareQ1

Monte Carlo simulationQ1

Abstract

An Installment Option is a European option in which the holder pays the option as a series of payments instead of paying all up-front. If all payments pay, the holder will be able to exercise the option at maturity time. However, the Installment Option will be terminated even if one installment is not paid. This study is divided into two sections. First, the importance of Installment Option is studied; the relationship between Installment Option and Venture Capital is explained; and it is studied how BLS model is failed to evaluate the Installment Option. As the exact evaluation of Installment Option is extremely complicated and usually intractable, Monte Carlo simulation and Least Squares (LS) have been applied to evaluate Installment Option. Second, the three optimum values, function type, number of base variables and number of simulated path, as important factors on this method are calculated. So, numerical valuation converges to exact solution.

Cites

No record.

References

No record.

Cite

APA: Copy

Hamedinia, Hamed, & Rezyati, Mahdi. (2020). Installment Option Valuation by Least Squares with Checking the Solution Convergence. INVESTMENT KNOWLEDGE, 8(32 ), 87-108. SID. https://sid.ir/paper/385820/en

Vancouver: Copy

Hamedinia Hamed, Rezyati Mahdi. Installment Option Valuation by Least Squares with Checking the Solution Convergence. INVESTMENT KNOWLEDGE[Internet]. 2020;8(32 ):87-108. Available from: https://sid.ir/paper/385820/en

IEEE: Copy

Hamed Hamedinia, and Mahdi Rezyati, “Installment Option Valuation by Least Squares with Checking the Solution Convergence,” INVESTMENT KNOWLEDGE, vol. 8, no. 32 , pp. 87–108, 2020, [Online]. Available: https://sid.ir/paper/385820/en

Related Journal Papers