Pricing holder-extendable options in a stochastic volatility model with an Ornstein-Uhlenbeck process

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Pricing holder-extendable options in a stochastic volatility model with an Ornstein-Uhlenbeck process

Holder-extendable options are characterized by two maturity dates, which means the option can be exercised at either the expiration date or the extended maturity date. This paper develops a pricing framework for holder-extendable options which deals with the extended version of a stochastic volatili...

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Bibliographic Details
Main Authors:	Ibrahim, Siti Nur Iqmal, Ng, Teck Wee, O'Hara, John G., Nawawi, A.
Format:	Article
Language:	English
Published:	Institute for Mathematical Research, Universiti Putra Malaysia 2017
Online Access:	http://psasir.upm.edu.my/id/eprint/51691/ http://psasir.upm.edu.my/id/eprint/51691/1/1.pdf

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