Valuation on an outside-reset option with multiple resettable levels and dates

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

zbMATH Keywords

risky assetanalytical pricing formulamultiple strike resetsoutside-reset optionreset dates

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• QSIMVN

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