Add to ORKGGiaccotto et al. [2007. Journal of Finance 62, 411–445] provide a simple model for pricing the cancellation and the purchase options typically embedded in automobile lease contracts, assuming constant interest rates. They show that the cancellation option is worthless because of a penalty applied if the lease is terminated before maturity. We extend their results by developing a model with stochastic interest rates, and show that the cancellation option has a significant value also in presence of the penalty. We provide sufficient conditions to make the cancellation option worthless in our more general framework
Although compensation is the governing principle in contract law remedies, it has tenuous historical...
Office leases are generally agreed upon for extended terms, with possible options to leave or to ren...
We use an asymptotic expansion to study the behavior of installment options close to expiry. Install...
Giaccotto et al. [2007. Journal of Finance 62, 411–445] provide a simple model for pricing the cance...
Under the common assumption of constant interest rates, we show that penalties for early termination...
This paper applies a “real” option literature based model to valuing the option element ...
[[abstract]]In this paper, we propose an integrated reduced form model to calculate the values of ad...
The major characteristic of the cancellable American options is the existing writer’s right to cance...
Leasing contracts are extensively used in durable goods markets. These contracts specify a rental ra...
During the lifetime of a structured product, payment events and cancellation events mainly affect th...
Leases and rental agreements often have options attached or embedded in them. These options sometime...
Financial leasing contracts usually include specific clauses for early termination of the agreement ...
The purpose of this paper is to explain why leases have a purchase option and how the exercise price...
The purpose of this paper is to explain why leases have a purchase option and how the exercise price...
Purpose – The purpose of this paper is to investigate how asset risk (i.e. the risk that the value o...
Although compensation is the governing principle in contract law remedies, it has tenuous historical...
Office leases are generally agreed upon for extended terms, with possible options to leave or to ren...
We use an asymptotic expansion to study the behavior of installment options close to expiry. Install...
Giaccotto et al. [2007. Journal of Finance 62, 411–445] provide a simple model for pricing the cance...
Under the common assumption of constant interest rates, we show that penalties for early termination...
This paper applies a “real” option literature based model to valuing the option element ...
[[abstract]]In this paper, we propose an integrated reduced form model to calculate the values of ad...
The major characteristic of the cancellable American options is the existing writer’s right to cance...
Leasing contracts are extensively used in durable goods markets. These contracts specify a rental ra...
During the lifetime of a structured product, payment events and cancellation events mainly affect th...
Leases and rental agreements often have options attached or embedded in them. These options sometime...
Financial leasing contracts usually include specific clauses for early termination of the agreement ...
The purpose of this paper is to explain why leases have a purchase option and how the exercise price...
The purpose of this paper is to explain why leases have a purchase option and how the exercise price...
Purpose – The purpose of this paper is to investigate how asset risk (i.e. the risk that the value o...
Although compensation is the governing principle in contract law remedies, it has tenuous historical...
Office leases are generally agreed upon for extended terms, with possible options to leave or to ren...
We use an asymptotic expansion to study the behavior of installment options close to expiry. Install...