Variable purchase options

DOI10.1023/A:1011331329906MaRDI QIDQ375330zbMATH OpenOpenAlexFDO

Authors John C. Handley

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:1011331329906

zbMATH Keywords

equity capitaloptionunderwriting

Mathematics Subject Classification ID

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

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Cited in

(8)

• Asian options on the harmonic average
• Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
• ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
• Valuing callable and putable revenue-performance-linked project backed securities
• Asymptotic solutions for Australian options with low volatility
• Asian and Australian options: a common perspective
• A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes
• MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING

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