Exact solutions for a strike reset put option and a shout call option

DOI10.1016/J.MCM.2011.11.033zbMath1255.91399OpenAlexW2034914045MaRDI QIDQ1933866

Joanna M. Goard

Publication date: 27 January 2013

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.11.033

zbMATH Keywords

shout optionsreset optionsshout call optionsstrike reset options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

APPROXIMATE SOLUTIONS FOR THE BRITISH PUT OPTION AND ITS OPTIMAL EXERCISE BOUNDARY ⋮ Valuation on an outside-reset option with multiple resettable levels and dates ⋮ INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS

Cites Work

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• On free boundary problems with arbitrary initial and flux conditions
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• An exact and explicit solution for the valuation of American put options
• Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature
• Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
• Shout options: A framework for pricing contracts which can be modified by the investor

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