Guo Peidong
Abstract
American option with callable feature is also called the game options or Israel options, that option holder can cancel the option at any time up to maturity. This paper analyzed the pricing characterize of the option, and issued the continuation region and optimal exercise strategy, obtained the integral expression of the option value.
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American option with callable feature is also called the game options or Israel options, that option holder can cancel the option at any time up to maturity. This paper analyzed the pricing characterize of the option, and issued the continuation region and optimal exercise strategy, obtained the integral expression of the option value.
Key concepts: Callable bond, Valuation of options, Option value, Embedded option, Maturity (psychological), Asian option, Continuation, Exotic option