Perpetual cancellable American options with convertible features (Q6067091)
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scientific article; zbMATH DE number 7766691
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Perpetual cancellable American options with convertible features |
scientific article; zbMATH DE number 7766691 |
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Perpetual cancellable American options with convertible features (English)
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16 November 2023
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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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American options
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game options
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optimal strategies
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convertible features
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pricing
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