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Research output: Working paper
Research output: Working paper
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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 -