具有可兑换功能的永久可取消美国期权

IF 0.7 Q3 STATISTICS & PROBABILITY Modern Stochastics-Theory and Applications Pub Date : 2023-01-01 DOI:10.15559/23-vmsta230
Tsvetelin S. Zaevski
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引用次数: 1

摘要

可取消美式期权的主要特点是现有期权人有权提前支付违约金取消合同。本文的主要目的是介绍和研究这类期权的一个新子类,在这个子类中,期权持有人为这项权利所欠的罚款由三部分组成:固定金额、标的资产的股份和通常期权支付的一定比例。我们研究了渐近情况下,其成熟度设为无穷。我们确定了期权持有人和期权出售者的最优行权区域,并推导出公平的期权价格。
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Perpetual cancellable American options with convertible features
The major characteristic of the cancellable American options is the existing writer’s right to cancel the contract prematurely paying some penalty amount. The main purpose of this paper is to introduce and examine a new subclass of such options for which the penalty which the writer owes for this right consists of three parts – a fixed amount, shares of the underlying asset, and a proportion of the usual option payment. We examine the asymptotic case in which the maturity is set to be infinity. We determine the optimal exercise regions for the option’s holder and writer and derive the fair option price.
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来源期刊
Modern Stochastics-Theory and Applications
Modern Stochastics-Theory and Applications STATISTICS & PROBABILITY-
CiteScore
1.30
自引率
50.00%
发文量
0
审稿时长
10 weeks
期刊最新文献
Critical branching processes in a sparse random environment The Burgers equation driven by a stochastic measure Multi-mixed fractional Brownian motions and Ornstein–Uhlenbeck processes Perpetual cancellable American options with convertible features On some composite Kies families: distributional properties and saturation in Hausdorff sense
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