| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069793 | Finance Research Letters | 2011 | 6 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Y. Peter Chung, Herb Johnson,