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...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Cambridge University Press
2015
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/46000/1/Pricing%20holder-extendable%20call%20options%20with%20mean-reverting%20stochastic%20volatility.pdf |