Shout options: A framework for pricing contracts which can be modified by the investor

Citations of this article
Mendeley users who have this article in their library.


A shout option may be broadly defined as a financial contract which can be modified by the holder according to specified rules. In a simple example, the holder could have the right to set the strike of an option equal to the current value of the underlying asset. In such a case, the holder effectively has the right to select when to take ownership of an at-the-money option. More generally, the holder could have multiple rights along these lines, in some cases with a limit placed on the number of rights which may be exercised within a given time period (e.g., four times per year). The value of these types of contracts can be estimated by solving a system of interdependent linear complementarity problems. This paper describes a general framework for the valuation of complex types of shout options. Numerical issues related to interpolation and choice of timestepping method are considered in detail. Some illustrative examples are provided. © 2001 Elsevier Science B.V. All rights reserved.




Windcliff, H., Forsyth, P. A., & Vetzal, K. R. (2001). Shout options: A framework for pricing contracts which can be modified by the investor. Journal of Computational and Applied Mathematics, 134(1–2), 213–241.

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free