Extendible options: The general case

Y. Peter Chung and Herb Johnson

Finance Research Letters, 2011, vol. 8, issue 1, 15-20

Abstract: The result for the pricing of extendible call and put options is generalized, using the Cox and Ross (1976) approach, to the case of an arbitrary number of extensions. Some typographical errors in the Longstaff (1990) results for the simplest case are corrected.

Keywords: Extendible; options; Cox; and; Ross; (1976); approach (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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