Price matching for multiple rescindable options and European options

We study a modification of an American option such that the option holder can exercise the option early before the expiration, and he or she can revert later this decision to exercise a number of times. This feature gives additional flexibility and risk protection for the option holder. We found tha...

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Bibliographic Details
Main Author: Dokuchaev, Nikolai
Format: Journal Article
Published: 2008
Online Access:http://hdl.handle.net/20.500.11937/24593