Pricing holder-extendable options in a stochastic volatility model with an Ornstein-Uhlenbeck process
Holder-extendable options are characterized by two maturity dates, which means the option can be exercised at either the expiration date or the extended maturity date. This paper develops a pricing framework for holder-extendable options which deals with the extended version of a stochastic volatili...
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| 主要な著者: | , , , |
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| フォーマット: | 論文 |
| 言語: | English |
| 出版事項: |
Institute for Mathematical Research, Universiti Putra Malaysia
2017
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| オンライン･アクセス: | http://psasir.upm.edu.my/id/eprint/51691/1/1.pdf http://psasir.upm.edu.my/id/eprint/51691/ http://einspem.upm.edu.my/journal/fullpaper/vol11/1.pdf |
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