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Callable Puts As Composite Exotic Options

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  • Christoph Kühn
  • Andreas E. Kyprianou

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  • Christoph Kühn & Andreas E. Kyprianou, 2007. "Callable Puts As Composite Exotic Options," Mathematical Finance, Wiley Blackwell, vol. 17(4), pages 487-502.
  • Handle: RePEc:bla:mathfi:v:17:y:2007:i:4:p:487-502
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2007.00313.x
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    Cited by:

    1. Hsuan-Ku Liu, 2013. "The pricing formula for cancellable European options," Papers 1304.5962, arXiv.org, revised Sep 2014.
    2. Alet Roux & Tomasz Zastawniak, 2016. "Game options with gradual exercise and cancellation under proportional transaction costs," Papers 1612.02312, arXiv.org.
    3. Alet Roux, 2016. "Pricing And Hedging Game Options In Currency Models With Proportional Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-25, November.
    4. Yagi, Kyoko & Sawaki, Katsushige, 2010. "The pricing and optimal strategies of callable warrants," European Journal of Operational Research, Elsevier, vol. 206(1), pages 123-130, October.
    5. Hertrich Markus, 2016. "The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone," Review of Economics, De Gruyter, vol. 67(1), pages 91-120, May.
    6. Peidong Guo & Qihong Chen & Xicai Guo & Yue Fang, 2014. "Path-dependent game options: a lookback case," Review of Derivatives Research, Springer, vol. 17(1), pages 113-124, April.
    7. Haishi Huang, 2009. "Convertible Bonds: Risks and Optimal Strategies," Bonn Econ Discussion Papers bgse07_2010, University of Bonn, Germany.

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