HOLDER-EXTENDIBLE EUROPEAN OPTION: CORRECTIONS AND EXTENSIONS

DOI10.1017/S1446181115000097zbMath1320.91147arXiv1010.0090OpenAlexW1934483471MaRDI QIDQ5500782

Pavel V. Shevchenko

Publication date: 10 August 2015

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.0090

zbMATH Keywords

geometric Brownian motionexotic optionsextendible maturitiesholder-extendible option

Mathematics Subject Classification ID

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

Related Items (1)

PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading

This page was built for publication: HOLDER-EXTENDIBLE EUROPEAN OPTION: CORRECTIONS AND EXTENSIONS