Discounted perpetual game call options

Tsvetelin S. Zaevski

Chaos, Solitons & Fractals, 2020, vol. 131, issue C

Abstract: The purpose of this paper is to examine the problem of pricing discounted perpetual game call options. In addition to the properties of the American options, the game options give the seller the right to cancel the contract at some chosen from him moment. As a compensation for this, he has to pay some amount above the usual payment. We assume that this penalty payment is a constant. We examine the case without maturity – the exercise can be made in every future moment. We first derive the optimal exercise regions for the buyer and the seller and then calculate the fair option price. Our approach is based on some American style derivatives with a stochastic maturity date.

Keywords: Game options; Israeli options; American options; Exercise regions; Optimal boundaries (search for similar items in EconPapers)
JEL-codes: C57 C61 C73 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0960077919304552
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:131:y:2020:i:c:s0960077919304552

DOI: 10.1016/j.chaos.2019.109503

Access Statistics for this article

Chaos, Solitons & Fractals is currently edited by Stefano Boccaletti and Stelios Bekiros

More articles in Chaos, Solitons & Fractals from Elsevier
Bibliographic data for series maintained by Thayer, Thomas R. ().