Effects of callable feature on early exercise policy

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

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

zbMATH Keywords

American callcallable featurenotice periodoptimal recall policies

Mathematics Subject Classification ID

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

Cited In (3)

• The pricing and optimal strategies of callable warrants
• Optimal policies of call with notice period requirement
• Intensity-based framework and penalty formulation of optimal stopping problems

This page was built for publication: Effects of callable feature on early exercise policy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375328)