Extendible options: The general case
The result for the pricing of extendible call and put options is generalized, using the Cox and Ross (1976) approach, to the case of an arbitrary number of extensions. Some typographical errors in the Longstaff (1990) results for the simplest case are corrected.
Year of publication: |
2011
|
---|---|
Authors: | Chung, Y. Peter ; Johnson, Herb |
Published in: |
Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 8.2011, 1, p. 15-20
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Publisher: |
Elsevier |
Keywords: | Extendible options Cox and Ross (1976) approach |
Saved in:
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