Multiple rescindable options and their pricing

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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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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	World Scientific 2009
Subjects:	multiple rescissions multiple exercise exotic options multiple stopping American options pricing rules Irish options
Online Access:	http://hdl.handle.net/20.500.11937/9259

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