Pricing writer-extendable call options with Monte Carlo simulation
Writer-extendable option is an exotic option that can either be exercised at its initial maturity time or be extended to a future maturity time. Within the Black-Scholes environment, this study aims to price writer-extendable call options using the Monte Carlo simulation technique and compare the ob...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Malaysia Perlis
2024
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| Online Access: | http://psasir.upm.edu.my/id/eprint/116533/ http://psasir.upm.edu.my/id/eprint/116533/1/116533.pdf |