PERPETUAL CANCELLABLE AMERICAN CALL OPTION

DOI10.1111/j.1467-9965.2011.00479.xzbMath1272.91120arXiv1009.3556OpenAlexW2097643684MaRDI QIDQ4919614

Thomas Emmerling

Publication date: 14 May 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.3556

zbMATH Keywords

Dynkin gamesgame optionsIsraeli optionsAmerican-style derivativescancellable call optionperpetual call option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Perpetual cancellable American options with convertible features ⋮ A zero-sum Poisson stopping game with asymmetric signal rates ⋮ Perpetual game options with a multiplied penalty ⋮ Dynkin's games and Israeli options ⋮ GAME CALL OPTIONS REVISITED ⋮ Nonzero-sum games of optimal stopping for Markov processes ⋮ Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon

Cites Work

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• Properties of game options
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• MINIMUM GUARANTEED PAYMENTS AND COSTLY CANCELLATION RIGHTS: A STOPPING GAME PERSPECTIVE
• The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
• Optimal Stopping Games for Markov Processes
• Game options

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