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The pricing formula for cancellable European options

Year: 2013

Type: preprint

Abstract: This paper examines the value of a cancellable European option in a finite time horizon setting. The specifications of this generalized European option allow the seller to cancel the option at any point in time for a fixed penalty paid directly to the holder. Here, we provide an explicit valuation formula for the European game call where the early cancellation time is obtained iteratively.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1304.5962

Author: Liu, Hsuan-Ku

Institution: National Taipei University of Education

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1596985879

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