Pricing writer-extendable call options with Monte Carlo simulation

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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...

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Bibliographic Details
Main Authors:	Wan Omar, Hazimah, Ibrahim, Siti Nur Iqmal
Format:	Article
Language:	English
Published:	Penerbit Universiti Malaysia Perlis 2024
Online Access:	http://psasir.upm.edu.my/id/eprint/116533/ http://psasir.upm.edu.my/id/eprint/116533/1/116533.pdf

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