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Smooth pasting as rate of return equalization

Research output: Working paper

Published

Standard

Smooth pasting as rate of return equalization. / Sodal, S; Shackleton, M B.

Lancaster University : The Department of Accounting and Finance, 2005. (Accounting and Finance Working Paper Series).

Research output: Working paper

Harvard

Sodal, S & Shackleton, MB 2005 'Smooth pasting as rate of return equalization' Accounting and Finance Working Paper Series, The Department of Accounting and Finance, Lancaster University.

APA

Sodal, S., & Shackleton, M. B. (2005). Smooth pasting as rate of return equalization. (Accounting and Finance Working Paper Series). The Department of Accounting and Finance.

Vancouver

Sodal S, Shackleton MB. Smooth pasting as rate of return equalization. Lancaster University: The Department of Accounting and Finance. 2005. (Accounting and Finance Working Paper Series).

Author

Sodal, S ; Shackleton, M B. / Smooth pasting as rate of return equalization. Lancaster University : The Department of Accounting and Finance, 2005. (Accounting and Finance Working Paper Series).

Bibtex

@techreport{b22ce628020f4e86b51e786682992d41,
title = "Smooth pasting as rate of return equalization",
abstract = "We further elucidate the smooth pasting condition behind optimal early exercise of options. It is easy to show that smooth pasting implies rate of return equalization between the option and the levered position that results from exercise. This yields new economic insights into the optimal early exercise condition that the option holder faces",
keywords = "Smooth pasting, rates of return, option elasticity, real option.",
author = "S Sodal and Shackleton, {M B}",
year = "2005",
language = "English",
series = "Accounting and Finance Working Paper Series",
publisher = "The Department of Accounting and Finance",
type = "WorkingPaper",
institution = "The Department of Accounting and Finance",

}

RIS

TY - UNPB

T1 - Smooth pasting as rate of return equalization

AU - Sodal, S

AU - Shackleton, M B

PY - 2005

Y1 - 2005

N2 - We further elucidate the smooth pasting condition behind optimal early exercise of options. It is easy to show that smooth pasting implies rate of return equalization between the option and the levered position that results from exercise. This yields new economic insights into the optimal early exercise condition that the option holder faces

AB - We further elucidate the smooth pasting condition behind optimal early exercise of options. It is easy to show that smooth pasting implies rate of return equalization between the option and the levered position that results from exercise. This yields new economic insights into the optimal early exercise condition that the option holder faces

KW - Smooth pasting

KW - rates of return

KW - option elasticity

KW - real option.

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

BT - Smooth pasting as rate of return equalization

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -