The following option exercise style is somewhere between American and European:

There is a fixed grant date $N_1$ at which you determine at which date $N_2>N_1$ the option will be exercised.

So once the grant date $N_1$ arrives, the option becomes European, i.e., you have to commit yourself to when the option will be exercised. But the choice of $N_2$ may depend on the history of stock prices up to time $N_1$.

Perhaps this is Bermudan or Verde. Is there a standard or succinct way to describe it?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.