MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING

DOI10.1142/S0219024909005348zbMath1182.91170MaRDI QIDQ5193009

Nikolai G. Dokuchaev

Publication date: 10 August 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

American optionsexotic optionsmultiple stoppingpricing rulesIrish optionsmultiple exercisemultiple rescissions

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Boundary value problems for linear higher-order PDEs (35G15)

Related Items (1)

CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY

Cites Work

• Optimal multiple stopping models of reload options and shout options
• Some calculations for Israeli options
• Exercise regions of American options on several assets
• The Russian option: finite horizon
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• An iterative method for multiple stopping: convergence and stability
• Game options
• Unnamed Item

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