Pricing holder-extendable call options with mean-reverting stochastic volatility
Options with extendable features have many applications in finance and these provide the motivation for this study. The pricing of extendable options when the underlying asset follows a geometric Brownian motion with constant volatility has appeared in the literature. In this paper, we consider hold...
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Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
Cambridge University Press
2015
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Online Access: | http://psasir.upm.edu.my/id/eprint/46000/1/Pricing%20holder-extendable%20call%20options%20with%20mean-reverting%20stochastic%20volatility.pdf http://psasir.upm.edu.my/id/eprint/46000/ https://www.cambridge.org/core/journals/anziam-journal/article/pricing-holderextendable-call-options-with-meanreverting-stochastic-volatility/44F8FB787C2FC522430403AB9A740737 |
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Institution: | Universiti Putra Malaysia |
Language: | English |
Internet
http://psasir.upm.edu.my/id/eprint/46000/1/Pricing%20holder-extendable%20call%20options%20with%20mean-reverting%20stochastic%20volatility.pdfhttp://psasir.upm.edu.my/id/eprint/46000/
https://www.cambridge.org/core/journals/anziam-journal/article/pricing-holderextendable-call-options-with-meanreverting-stochastic-volatility/44F8FB787C2FC522430403AB9A740737