Gamba, Andrea; Rigon, Riccardo - In: Finance Research Letters 5 (2008) 4, pp. 213-220
Giaccotto et al. [2007. Journal of Finance 62, 411-445] provide a simple model for pricing the cancellation and the purchase options typically embedded in automobile lease contracts, assuming constant interest rates. They show that the cancellation option is worthless because of a penalty...