Perpetual Cancellable American Call Option

Preprint English OPEN
Emmerling, Thomas J. (2010)
  • Subject: Quantitative Finance - Pricing of Securities

This paper examines the valuation of a generalized American-style option known as a Game-style call option in an infinite time horizon setting. The specifications of this contract allow the writer to terminate the call option at any point in time for a fixed penalty amo... View more
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