The pricing formula for cancellable European options
Pricing of Securities
2014-09-26 v3
Abstract
This paper examines the value of a cancellable European option in a finite time horizon setting. The specifications of this generalized European option allow the seller to cancel the option at any point in time for a fixed penalty paid directly to the holder. Here, we provide an explicit valuation formula for the European game call where the early cancellation time is obtained iteratively.
Cite
@article{arxiv.1304.5962,
title = {The pricing formula for cancellable European options},
author = {Hsuan-Ku Liu},
journal= {arXiv preprint arXiv:1304.5962},
year = {2014}
}
Comments
This paper has been withdrawn by the author due to a crucial sign error in equation 13