Generalised Geske‐‐Johnson Interpolation of Option Prices
将四种期权类型视为百慕大期权的特例，扩展了Geske-Johnson两点定价法，考虑了到期时间和行权间隔，并提出了“北极期权”的定价方案，通过数值比较验证了方法的有效性。
Abstract: This paper describes four separate option types as special cases of Bermudans with general inter–exercise and time to final maturity. This produces a surface with European, finite American, infinite Bermudan and infinite American options as special cases. This allows Geske–Johnson (1984) two–point pricing to be extended to consider time–to–maturity as well as time–between–exercise opportunities. Due to their position on this ‘map’, infinite Bermudans are christened Arctic options and their pricing solution is presented. Numerical comparisons to benchmark methods are made for call prices under GBM although the results here hold for other processes and for both puts and calls when symmetry arguments are invoked.