PERPETUAL CANCELLABLE AMERICAN CALL OPTION

DOI10.1111/j.1467-9965.2011.00479.xzbMath1272.91120arXiv1009.3556MaRDI 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 games; game options; Israeli options; American-style derivatives; cancellable call option; perpetual call option

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

Related Items

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

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