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Abstract
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In this talk, I'll examine the valuation of a generalized American-style
option known as a Game-style call option in an infinite time horizon
setting. The specifications of this contract allow the writer to
terminate the call option at any point in time for a fixed penalty
amount paid directly to the holder. Valuation of a perpetual
Game-style put option was addressed by Kyprianou (2004) in a
Black-Scholes setting on a non-dividend paying asset. Here, we
undertake a similar analysis for the perpetual call option in the
presence of dividends and find qualitatively different explicit
representations for the value function depending on the relationship
between the interest rate and dividend yield. |
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