Random-expiry options are nontraditional derivative contracts that may expire early based on a random event.  We develop a methodology for pricing these options using a trinomial tree, where the middle path is interpreted as early expiry.  We establish that this approach is free of arbitrage, derive its continuous-time limit, and show how it may be implemented numerically in an efficient manner.

Joint work with Michael Grabchak.  Reference paper:  https://arxiv.org/abs/2508.17014