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....
| Main Author: | |
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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 |
| _version_ | 1848745897452634112 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. A classification of these options and pricing rules are given. We found that the price of some call options with this feature is the same as for the European call. This means that the additional flexibility costs nothing, similarly to the situation with American and European call options. For the market model with zero interest rate, the price of put options with this feature is also the same as for the standard European put options. Therefore, these options can be more competitive than the standard American options |
| first_indexed | 2025-11-14T06:24:39Z |
| format | Journal Article |
| id | curtin-20.500.11937-9259 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:24:39Z |
| publishDate | 2009 |
| publisher | World Scientific |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-92592017-02-28T01:31:39Z Multiple rescindable options and their pricing Dokuchaev, Nikolai multiple rescissions multiple exercise exotic options multiple stopping American options pricing rules Irish options 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. A classification of these options and pricing rules are given. We found that the price of some call options with this feature is the same as for the European call. This means that the additional flexibility costs nothing, similarly to the situation with American and European call options. For the market model with zero interest rate, the price of put options with this feature is also the same as for the standard European put options. Therefore, these options can be more competitive than the standard American options 2009 Journal Article http://hdl.handle.net/20.500.11937/9259 World Scientific restricted |
| spellingShingle | multiple rescissions multiple exercise exotic options multiple stopping American options pricing rules Irish options Dokuchaev, Nikolai Multiple rescindable options and their pricing |
| title | Multiple rescindable options and their pricing |
| title_full | Multiple rescindable options and their pricing |
| title_fullStr | Multiple rescindable options and their pricing |
| title_full_unstemmed | Multiple rescindable options and their pricing |
| title_short | Multiple rescindable options and their pricing |
| title_sort | multiple rescindable options and their pricing |
| topic | multiple rescissions multiple exercise exotic options multiple stopping American options pricing rules Irish options |
| url | http://hdl.handle.net/20.500.11937/9259 |