DOKUCHAEV, NIKOLAI - In: International Journal of Theoretical and Applied … 12 (2009) 04, pp. 545-575
flexibility and risk protection for the option holder. A classification of these options and pricing rules are given. We found … that the price of some call options with this feature is the same as for the European call. This means that the additional … flexibility costs nothing, similarly to the situation with American and European call options. For the market model with zero …