Pricing cancellable American put options on the finite time horizon
提出了一种数值方法，用于定价有限时间水平上的可取消美式看跌期权（又称博弈期权或以色列期权），该期权赋予期权卖方提前行权权利并需支付罚金，通过布朗运动首次退出性质近似最优边界并构建高效定价算法。
Abstract The purpose of this paper is to present a numerical approach for pricing cancellable American put options, also known as game or Israeli options, on the finite time horizon. These options generalize the concept of American derivatives adding an early exercise right for the option's writer to the existing holder's right. The writer has to pay a penalty amount above the usual option payment to use this right. We first obtain the shape of the optimal regions for both participants. Then we approximate the optimal exercise boundaries maximizing the option's writer and holder financial expectations using some first exit properties of the Brownian motion. We also construct an efficient pricing algorithm based on these boundaries. A semiclosed form formula is derived when the underlying asset starts above the strike.