Perpetual cancellable American options with convertible features
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Publication:6067091
The paper studies cancellable American options, i.e. options which, in addition to early exercise, assign to the writer the possibility of cancelling the contract at the cost of a penalty payment. The assumption is that the penalty is fixed is relaxed in this paper. The dynamics of the underlying stock are assumed to be log-normal. The maturity of the option is set to infinity.
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Cites work
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