Valuation on an outside-reset option with multiple resettable levels and dates
From MaRDI portal
Publication:1722684
DOI10.1155/2018/2825483zbMath1407.91260OpenAlexW2796325691MaRDI QIDQ1722684
Guangming Xue, Guohe Deng, Bin Qin
Publication date: 18 February 2019
Published in: Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2018/2825483
Uses Software
Cites Work
- On pricing arithmetic average reset options with multiple reset dates in a lattice framework
- A parabolic variational inequality arising from the valuation of strike reset options
- Options with combined reset rights on strike and maturity
- Intermediate rank lattice rules and applications to finance
- Exact solutions for a strike reset put option and a shout call option
- Pricing Multi-Asset Options with an External Barrier
- Pricing Options Using Lattice Rules
- ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
- Pricing options with American-style average reset features
- OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
- Changes of numéraire, changes of probability measure and option pricing
- Options with Multiple Reset Rights
- Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
This page was built for publication: Valuation on an outside-reset option with multiple resettable levels and dates