Effects of callable feature on early exercise policy

DOI10.1023/A:1009694326816zbMath1274.91421OpenAlexW1892463008MaRDI QIDQ375328

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)

Related Items (3)

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

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