Effects of callable feature on early exercise policy

DOI10.1023/A:1009694326816zbMATH Open1274.91421OpenAlexW1892463008MaRDI QIDQ375328FDOQ375328

Authors: Yue Kuen Kwok, Lixin Wu 

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009694326816

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zbMATH Keywords

American callcallable featurenotice periodoptimal recall policies

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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• A pricing analysis of American option with callable feature
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• Intensity-based framework and penalty formulation of optimal stopping problems

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