We will present a model to compute a lower bound for the price of this option. The model, represented by a non-linear parabolic PDE, is implemented with finite elements in order to demonstrate the results with several derivatives from the European market.

This paper deals with the introduction of stock options in an (dy-namically) incomplete securities market.

An installment option is a European option in which the premium, instead of being paid up-front, is paid in a series of installments. If all installments are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the...

This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of stock returns, for a market maker that establishes bid and ask prices for American call options on stocks paying dividends prior to expiration.(...)

This paper shows a simple approach to the pricing of options on spread and some arguments in favor of modelling the spread using its two components instead of the spread itself.

This paper analyses the effects of different model specifications.

The authors develop a simple binomial model of liquidity and credit risk in which a bondholder has the option to time the sale of his security, given a distribution of potential buyers, bids and liquidity shocks.

This paper provides a simple model of the rescheduling of debt following a sovereign default as a bond exchange.

This paper deals with the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse.

This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.