Multiple rescindable options and their pricing
We suggest a modification of an American option such that the option holder can exercise the option early before the expiration and can revert later this decision to exercise; it can be repeated a number of times. This feature gives additional flexibility and risk protection for the option holder....
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| Format: | Journal Article |
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World Scientific
2009
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| Online Access: | http://hdl.handle.net/20.500.11937/9259 |