The generalized perpetual American exchange-option problem
نویسندگان
چکیده
منابع مشابه
Perpetual Cancellable American Call Option
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 amount paid directly to the holder. Valuation of a perpetual game-style put optionwas addressed byKyprianou (2004) in a Black-Scho...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2008
ISSN: 0001-8678,1475-6064
DOI: 10.1239/aap/1208358891