Perpetual cancellable American options with convertible features
The major characteristic of the cancellable American options is the existing writer’s right to cancel the contract prematurely paying some penalty amount. The main purpose of this paper is to introduce and examine a new subclass of such options for which the penalty which the writer owes for this ri...
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| Format: | Article |
| Language: | English |
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VTeX
2023-08-01
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| Series: | Modern Stochastics: Theory and Applications |
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| Online Access: | https://www.vmsta.org/doi/10.15559/23-VMSTA230 |