Pricing holder-extendable call options with mean-reverting stochastic volatility

Pricing holder-extendable call options with mean-reverting stochastic volatility

Options with extendable features have many applications in finance and these provide the motivation for this study. The pricing of extendable options when the underlying asset follows a geometric Brownian motion with constant volatility has appeared in the literature. In this paper, we consider hold...

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Bibliographic Details
Main Authors: Ibrahim, Siti Nur Iqmal, Hernandez, A. Diaz, O'Hara, John G., Constantinou, Nick
Format: Article
Language:English
Published: Cambridge University Press 2015
Online Access:http://psasir.upm.edu.my/id/eprint/46000/
http://psasir.upm.edu.my/id/eprint/46000/1/Pricing%20holder-extendable%20call%20options%20with%20mean-reverting%20stochastic%20volatility.pdf

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