Extending options by changing their underlying assets: An anti-crisis solution
This article aims to examine a new type of exotic option,namely the external extendible option. Such an option has two characteristics: first,its maturity has the possibility to be extended for a given duration; second,once the option is extended,it will be written on a new underlying asset. For such European-style options,closed-form pricing formulas are derived,and analytical properties are examined. External extendible options have numerous applications in different fields. In particular,they can be used as anti-crisis arrangements within the framework of montage of capitalguaranteed funds.
Traditional options exotic options extendible options options with multiple underlying assets external extendible options option pricing and applications
Jian WU
Department of Economics and Finance Rouen Business School Mont Saint Aignan,France
国际会议
香港
英文
351-354
2010-08-17（万方平台首次上网日期，不代表论文的发表时间）