Holder-extendible European option: corrections and extensions

Financial contracts with options that allow the holder to extend the contract maturity by paying an additional fixed amount found many applications in finance. Closed-form solutions for the price of these options have appeared in the literature for the case when the contract underlying asset follows a geometric Brownian motion with the constant interest rate, volatility, and non-negative "dividend" yield. In this paper, the option price is derived for the case of the underlying asset that follow...