The pricing formula for cancellable European options
AbstractThis paper examines the value of a cancellable European option in a finite time horizon setting. The specifications of this generalized European option allow the seller to cancel the option at any point in time for a fixed penalty paid directly to the holder. Here, we provide an explicit valuation formula for the European game call where the early cancellation time is obtained iteratively.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1304.5962.
Date of creation: Apr 2013
Date of revision: May 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-27 (All new papers)
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