Pricing holder-extendable call options with mean-reverting stochastic volatility

• Main Authors: Ibrahim, Siti Nur Iqmal, Hernandez, A. Diaz, O'Hara, John G., Constantinou, Nick
• Format: Article
• Language: English
• Published: Cambridge University Press 2015
• Online Access: http://psasir.upm.edu.my/id/eprint/46000/1/Pricing%20holder-extendable%20call%20options%20with%20mean-reverting%20stochastic%20volatility.pdf; http://psasir.upm.edu.my/id/eprint/46000/; https://www.cambridge.org/core/journals/anziam-journal/article/pricing-holderextendable-call-options-with-meanreverting-stochastic-volatility/44F8FB787C2FC522430403AB9A740737

Options with extendable features have many applications in finance and these provide the motivation for this study. The pricing of extendable options when the underlying asset follows a geometric Brownian motion with constant volatility has appeared in the literature. In this paper, we consider hold...