An installment option is a derivative financial security where the price is paid in installments
instead of as a lump sum at the time of purchase. The valuation of these options involves a …

In this paper we study stock loans of finite maturity with different dividend distributions semi-
analytically using the analytical approximation method in Zhu (2006). Stock loan partial …

We address the pricing of American straddle options. We use partial Laplace transform
techniques due to Evans et al.(1950) to derive a pair of integral equations giving the …

In this paper, we propose a hybrid Laplace transform and finite difference method to price
(finite-maturity) American options, which is applicable to a wide variety of asset price models …

In this paper we apply the innovative Laplace transformation method introduced by Sheen,
Sloan, and Thom\'ee (IMA J. Numer. Anal., 2003) to solve the Black-Scholes equation. The …

We use an asymptotic expansion to study the behavior of installment options close to expiry.
Installment options are contracts where the price is paid over the life of the option rather than …

Pricing single asset American options is a hard problem in mathematical finance. There are
no closed form solutions available (apart from in the case of the perpetual option), so many …

In this paper, we study the convergence of the inverse Laplace transform for valuing
American put options when the dynamics of the risky asset is governed by the constant …

We study the pricing of the American options with fractal transmission system under two‐
state regime switching models. This pricing problem can be formulated as a free boundary …

Integral equation methods are now becoming well‐established tools in the study of financial
models used in theory and practice. In this paper, we investigate the fully nonlinear weakly …