American Options with Discontinuous Two-Level Caps
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References listed on IDEAS
- Phelim P. Boyle & Stuart M. Turnbull, 1989. "Pricing and hedging capped options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(1), pages 41-54, February.
- Don M. Chance, 1994. "The Pricing And Hedging Of Limited Exercise Caps And Spreads," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(4), pages 561-584, December.
- Broadie, Mark & Detemple, Jerome, 1995.
"American Capped Call Options on Dividend-Paying Assets,"
The Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 161-191.
- Broadie, M. & Detemple, J., 1993. "American Capped Call Options on Dividend Paying Assets," Papers 93-08a, Columbia - Graduate School of Business.
- Mark Broadie & Jérôme Detemple, 1994. "American Capped Call Options on Dividend Paying Assets," CIRANO Working Papers 94s-01, CIRANO.
- Chance, Don M, 1994. "The Pricing and Hedging of Limited Exercise Caps and Spreads," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(4), pages 561-584, Winter.
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