search query: @author Naslund, B. / total: 5
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Author: | Jennergren, L. Naslund, B. |
Title: | A class of options with stochastic lives and an extention of the Black-Scholes formula |
Journal: | European Journal of Operational Research
1996 : JUN 7, VOL. 91:2, p. 229-234 |
Index terms: | MANAGEMENT FINANCE OPTION PRICES |
Language: | eng |
Abstract: | Certain options have a fixed date of maturity but may be cancelled prematurely. This can happen for a stock option in case of a merger or for an executive stock option in case the executive leaves his/her present job. The differential equation is given which governs the value of an option with a stochastic life. Solutions can be obtained through integration in certain cases. The main result is an extension of the Black-Scholes formula to options where the time to expiration is stochastic, states the author. |
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